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

A Global Vector Autoregression Model for the Analysis of Wheat Export Prices

American Journal of Agricultural Economics, Vol. 97, No. 5 (October 2015), pp. 1494-1511 (18 pages) Food commodity price fluctuations have an important impact on poverty and food insecurity across the ...
International Monetary Fund

Regional Financial Spillovers Across Europe: A Global VAR Analysis

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation The recent financial crisis raises important issues about the transmission of financial shocks across borders. In this ...
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

Inflation Dynamics in the Gulf Cooperation Council (GCC): What is the Role of External Factors?

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation Inflationary pressures have intensified in the Gulf Cooperation Council (GCC) in 2021-2022, mainly driven by a pick-up in ...