Search Results - subject:"vector autoregressive moving average"

Identifiability and estimation of possibly non-invertible SVARMA models : the normalised canonical WHF parametrisation

Funovits, Bernd - In: Journal of econometrics 241 (2024) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10015075190

Maximum-Likelihood estimation using the zig-zag algorithm

Hautsch, Nikolaus; Okhrin, Ostap; Ristig, Alexander - In: Journal of financial econometrics 21 (2023) 4, pp. 1346-1375

Persistent link: https://www.econbiz.de/10014391462

Co-integration with score-driven models : an application to US real GDP growth, US inflation rate, and effective federal funds rate

Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - In: Macroeconomic dynamics 27 (2023) 1, pp. 203-223

Persistent link: https://www.econbiz.de/10014247362

European systemic credit risk transmission using Bayesian networks

Ballester, Laura; López, Jesúa; Pavia, José Manuel - In: Research in international business and finance 65 (2023), pp. 1-20

Persistent link: https://www.econbiz.de/10014432478

The identification problem for linear rational expectations models

Sadoon, Majid M. al-; Zwiernik, Piotr - 2019

Persistent link: https://www.econbiz.de/10012108035

Co-integration and common trends analysis with score-driven models : an application to the federal funds effective rate and US inflation rate

Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - 2019

Persistent link: https://www.econbiz.de/10012100515

The identification problem for linear rational expectations models

Sadoon, Majid M. al-; Zwiernik, Piotr - 2019

Persistent link: https://www.econbiz.de/10012104109

Choosing between identification schemes in noisy-news models

Chan, Joshua; Eisenstat, Eric; Koop, Gary - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 1, pp. 99-136

Persistent link: https://www.econbiz.de/10013334632

Multivariate time series analysis of traffic congestion measures in urban areas as they relate to socioeconomic indicators

Dadashova, Bahar; Li, Xiao; Turner, Shawn; Koeneman, Pete - In: Socio-economic planning sciences : the international … 75 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10012533662

On diagnostic checking of vector ARMA-GARCH models with Gaussian and Student-t innovations

Wang, Yongning; Tsay, Ruey S. - In: Econometrics 1 (2013) 1, pp. 1-31

This paper focuses on the diagnostic checking of vector ARMA (VARMA) models with multivariate GARCH errors. For a fitted VARMA-GARCH model with Gaussian or Student-t innovations, we derive the asymptotic distributions of autocorrelation matrices of the cross-product vector of standardized...

Persistent link: https://www.econbiz.de/10010421289