Testing for serial independence in vector autoregressive models

Statistical Papers ◽

10.1007/s00362-018-1039-4 ◽

2018 ◽

Vol 59 (4) ◽

pp. 1379-1410 ◽

Author(s):

Simos G. Meintanis ◽

Joseph Ngatchou-Wandji ◽

James Allison

Keyword(s):

Autoregressive Models ◽

Vector Autoregressive Models ◽

Vector Autoregressive ◽

Serial Independence

Download Full-text

Stress Testing Banks' Credit Risk Using Mixture Vector Autoregressive Models

SSRN Electronic Journal ◽

10.2139/ssrn.1326833 ◽

2008 ◽

Author(s):

Tom Fong ◽

Chun Shan Wong

Keyword(s):

Credit Risk ◽

Stress Testing ◽

Autoregressive Models ◽

Vector Autoregressive Models ◽

Vector Autoregressive

Download Full-text

PC-VAR Estimation of Vector Autoregressive Models

SSRN Electronic Journal ◽

10.2139/ssrn.2006847 ◽

2012 ◽

Author(s):

Claudio Morana

Keyword(s):

Autoregressive Models ◽

Vector Autoregressive Models ◽

Vector Autoregressive

Download Full-text

Exposing volatility spillovers: A comparative analysis based on vector autoregressive models

Finance Research Letters ◽

10.1016/j.frl.2016.05.002 ◽

2016 ◽

Vol 18 ◽

pp. 302-305 ◽

Author(s):

Dionisis Philippas ◽

Catalin Dragomirescu-Gaina

Keyword(s):

Comparative Analysis ◽

Autoregressive Models ◽

Vector Autoregressive Models ◽

Vector Autoregressive ◽

Volatility Spillovers

Download Full-text

A Spatial Prior for Bayesian Vector Autoregressive Models

Journal of Regional Science ◽

10.1111/1467-9787.00135 ◽

1999 ◽

Vol 39 (2) ◽

pp. 297-317 ◽

Author(s):

James P. LeSage ◽

Anna Krivelyova

Keyword(s):

Autoregressive Models ◽

Vector Autoregressive Models ◽

Vector Autoregressive

Download Full-text

Fitting Multilevel Vector Autoregressive Models in Stan, JAGS, and Mplus

Structural Equation Modeling A Multidisciplinary Journal ◽

10.1080/10705511.2021.1911657 ◽

2021 ◽

pp. 1-24

Author(s):

Yanling Li ◽

Julie Wood ◽

Linying Ji ◽

Sy-Miin Chow ◽

Zita Oravecz

Keyword(s):

Autoregressive Models ◽

Vector Autoregressive Models ◽

Vector Autoregressive

Download Full-text

Bootstrap prediction bands for forecast paths from vector autoregressive models

Journal of Forecasting ◽

10.1002/for.1205 ◽

2010 ◽

Vol 30 (8) ◽

pp. 721-735 ◽

Author(s):

Anna Staszewska-Bystrova

Keyword(s):

Autoregressive Models ◽

Vector Autoregressive Models ◽

Vector Autoregressive ◽

Prediction Bands

Download Full-text

Stationary Threshold Vector Autoregressive Models

SSRN Electronic Journal ◽

10.2139/ssrn.3226570 ◽

2018 ◽

Author(s):

Galyna Grynkiv ◽

Lars Stentoft

Keyword(s):

Autoregressive Models ◽

Vector Autoregressive Models ◽

Vector Autoregressive

Download Full-text

Vector Autoregressive Models

10.1007/springerreference_205691 ◽

2012 ◽

Keyword(s):

Autoregressive Models ◽

Vector Autoregressive Models ◽

Vector Autoregressive

Download Full-text

Regime-Switching Global Vector Autoregressive Models

SSRN Electronic Journal ◽

10.2139/ssrn.2302510 ◽

2013 ◽

Author(s):

Michael Binder ◽

Marco Gross

Keyword(s):

Regime Switching ◽

Autoregressive Models ◽

Vector Autoregressive Models ◽

Vector Autoregressive ◽

Download Full-text

Modelling and Prediction of Cyclostationary Chaotic Time Series Using Vector Autoregressive Models

2006 IEEE International Symposium on Signal Processing and Information Technology ◽

10.1109/isspit.2006.270847 ◽

2006 ◽

Author(s):

Feng Xi ◽

Zhong Liu

Keyword(s):

Time Series ◽

Chaotic Time Series ◽

Autoregressive Models ◽

Vector Autoregressive Models ◽

Vector Autoregressive

Download Full-text