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 ...
International Monetary Fund

Institutions and Growth: a GMM/IV Panel VAR Approach

Both sides of the institutions and growth debate have resorted largely to microeconometric techniques in testing hypotheses. In this paper, I build a panel structural vector autoregression (SVAR) ...
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 ...
International Monetary Fund

Global Financial Transmission into Sub-Saharan Africa – A Global Vector Autoregression Analysis

Sub-Saharan African countries are exposed to spillovers from global financial variables, but the impact on economic activity is more significant in more financially developed economies. Generalized ...
Simon Fraser University

Stepwise Autoregression

The estimates of the autocorrelations are shown for 5 lags. The backward elimination of autoregressive terms report shows that the autoregressive parameters at lags 3, 4, and 5 were insignificant and ...
Risk

Decomposing supply shocks in the US electricity industry: evidence from a time-varying Bayesian panel vector autoregression model

This paper investigates spillovers between electricity supply shocks and US growth, using monthly data from forty-eight US states from January 2001 to September 2016, and employs a novel strategy for ...