Luciano Gutierrez, Francesco Piras, Pier Paolo Roggero, A Global Vector Autoregression Model for the Analysis of Wheat Export Prices, American Journal of Agricultural Economics, Vol. 97, No. 5 ...

Since the vector autoregressive models are estimates from the Yule-Walker equations, not by maximum likelihood, the exact likelihood values are not available for computing the AIC. However, for the ...

Vector autoregression with exogenous variables (VARX) has been used as a powerful model for portfolio returns. We provide a regularization method, based on network analysis, that reduces the ...

If there are no exogenous components to the vector autoregression model, including no intercepts, then assign zero to each of the variables. There must be an assignment to each of the variables before ...

A team of Deutsche Bank economists led by Peter Hooper used a "vector autoregression" model to try and figure out how gross-domestic product in certain countries responds to various events.

The asymptotic distribution of prediction is derived for the general simultaneous equation model with lagged endogenous variables and vector autoregressive errors. The results turn out to be ...

For more information on this research see: A Hybrid Model for Forecasting Realized Volatility Based on Heterogeneous Autoregressive Model and Support Vector Regression. Risks, 2024,12 (1).

Fourth, the paper present a vector autoregression model to forecast Cambodia’s GDP in the next few quarters using global forecasts of China’s and US’s economy as well as oil and rice price. This paper ...

A structural vector autoregression model is developed to analyze the dynamics of bond spreads among a sample of mature and developing countries during periods of financial stress in the last decade.