A new unique impulse response function in linear vector autoregressive models
Year of publication: |
2023
|
---|---|
Authors: | Shi, Yanlin |
Published in: |
International review of finance : the official journal of the Asia Pacific Finance Association and the Nippon Finance Association. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1468-2443, ZDB-ID 2034475-2. - Vol. 23.2023, 2, p. 460-468
|
Subject: | eigendecomposition | forecast error variance decomposition | impulse response function | vector autoregressive | VAR-Modell | VAR model | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Dekompositionsverfahren | Decomposition method | Zeitreihenanalyse | Time series analysis |
-
Ramsauer, Franz, (2019)
-
Structural inference in sparse high-dimensional vector autoregressions
Krampe, Jonas, (2023)
-
The impact of promotional mix on profit in the B2B sector
Siddhanta, Somroop, (2014)
- More ...
-
Ho, Kin-Yip, (2013)
-
Can we distinguish regime switching from long memory? A simulation evidence
Shi, Yanlin, (2015)
-
Forecasting mortality rates with the adaptive spatial temporal autoregressive model
Shi, Yanlin, (2020)
- More ...