Search Results - subject:"Multivariate autoregressive"

The time-varying Multivariate Autoregressive Index model

Cubadda, Gianluca; Grassi, Stefano; Guardabascio, Barbara - In: International journal of forecasting 41 (2025) 1, pp. 175-190

Persistent link: https://www.econbiz.de/10015440289

VAR models with an index structure : a survey with new results

Cubadda, Gianluca - In: Econometrics : open access journal 13 (2025) 4, pp. 1-32

The main aim of this paper is to review recent advances in the multivariate autoregressive index model [MAI] and their …

Persistent link: https://www.econbiz.de/10015562093

The time-varying multivariate autoregressive index model

Cubadda, Gianluca; Grassi, Stefano; Guardabascio, Barbara - 2024

Persistent link: https://www.econbiz.de/10014515646

The vector error correction index model : representation, estimation and identification

Cubadda, Gianluca; Mazzali, Marco - 2023

Persistent link: https://www.econbiz.de/10014248988

Building multivariate time-varying smooth transition correlation GARCH models, with an application to the four largest Australian banks

Hall, Anthony; Silvennoinen, Annastiina; Teräsvirta, Timo - In: Econometrics : open access journal 11 (2023) 1, pp. 1-37

This paper proposes a methodology for building Multivariate Time-Varying STCC-GARCH models. The novel contributions in this area are the specification tests related to the correlation component, the extension of the general model to allow for additional correlation regimes, and a detailed...

Persistent link: https://www.econbiz.de/10014281494