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JSTOR Daily9y

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 ...
Risk3y

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 ...
Simon Fraser University15y

Preliminary Autoregressive Models

After computing the sample autocovariance matrices, PROC STATESPACE fits a sequence of vector autoregressive models. These preliminary autoregressive models are used to estimate the autoregressive ...
JSTOR Daily8y

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 ...
Simon Fraser University8y

Autoregressive Moving Average Error Processes

A model with first-order autoregressive errors, AR(1), has the form while an AR(2) error process has the form and so forth for higher-order processes. Note that the ...
Risk4y

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 ...
Insurancenewsnet.com1y

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 Fund1y

Nowcasting and Near-Term Forecasting Cambodia’s Economy

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation Assessing the current state of the economy and forecast the economic outlook in the next few quarters are important inputs ...