Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions
Osmani Teixeira de Carvalho Guillén, Alain Hecq, João Victor Issler, Diogo Saraiva
| Year of publication: |
maio de 2014
|
|---|---|
| Authors: | Guillén, Osmani Teixeira de Carvalho ; Hecq, Alain W. J. ; Issler, João Victor ; Saraiva, Diogo |
| Publisher: |
Rio de Janeiro : Escola de Pós-Graduação em Economia da Fundação Getulio Vargas |
| Subject: | forecasting | multivariate models | vector autoregression (VAR) | present-value restrictions | common cycles | cointegration | interest rates | prices and dividends | VAR-Modell | VAR model | Kointegration | Cointegration | Prognoseverfahren | Forecasting model | Multivariate Analyse | Multivariate analysis | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Zins | Interest rate | Dividende | Dividend |