Risk

Large vector autoregressive exogenous factor (VARX) model with network regularization

The vector autoregressive model has long been used for portfolio analysis, while a recent extension (VARX) incorporates exogenous factors. Despite its increased forecasting precision, the ...
JSTOR Daily

Estimating Orthogonal Impulse Responses via Vector Autoregressive Models

Impulse response functions from time series models are standard tools for analyzing the relationship between economic variables. The asymptotic distribution of orthogonalized impulse responses is ...
JSTOR Daily

Asymptotic Prediction Mean Squared Error for Vector Autoregressive Models

This paper derives the asymptotic mean square error of multistep prediction for the general vector autoregressive process. For one-step-ahead prediction the result is ...
RIETI独立行政法人経済産業研究所

Asymmetric Exchange Rate Pass-Through in Japanese Exports: Application of the threshold vector autoregressive model

This paper employs a threshold vector autoregressive (TVAR) model to analyze a possible asymmetric behavior of exchange rate pass-through (ERPT) or pricing-to-market (PTM) in Japanese exports between ...
Insurancenewsnet.com

Kwansei Gakuin University Researcher Provides New Study Findings on Risk Management (A Hybrid Model for Forecasting Realized Volatility Based on Heterogeneous Autoregressive ...

2024 FEB 06 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News-- Investigators publish new report on risk management. According to news originating from Hyogo, Japan, by NewsRx ...
Simon Fraser University

Automatic State Space Model Selection

The STATESPACE procedure is designed to automatically select the best state space model for forecasting the series. You can specify your own model if you wish, and you can use the output from PROC ...