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Measuring dynamic connectedness with large Bayesian VAR models

Korobilis, Dimitris; Yılmaz, Kamil - 2018

volatilities for 35 U.S. and European financial institutions. Based on that model we extract a connectedness index in the spirit of … Diebold and Yilmaz (2014) (DYCI). We show that the connectedness index from the TVP-VAR model captures abrupt turning points …

Persistent link: https://www.econbiz.de/10011778195

Vector autoregressions with parsimoniously time varying parameters and an application to monetary policy

Callot, Laurent; Kristensen, Johannes Tang - 2014

finite sample properties of the Lasso by deriving upper bounds on the estimation and prediction errors that are valid with …) and studies the properties of the Lasso and adaptive Lasso as estimators of this model. The parameters of the model are … of non zero increments grows slower than √T . By simulation experiments we investigate the properties of the Lasso and …

Persistent link: https://www.econbiz.de/10010433901

Regularized estimation of structural instability in factor models : the US macroeconomy and the great moderation

Callot, Laurent; Kristensen, Johannes Tang - 2015

high dimensional by construction and sparse by assumption, is estimated using the Lasso. We apply this method to the … estimation of static factor models and factor augmented autoregressions using a set of 190 quarterly observations of 144 US …

Persistent link: https://www.econbiz.de/10010532582

Pitfalls in Backtesting Historical Simulation VAR Models

Escanciano, Juan Carlos - 2012

Historical Simulation (HS) and its variant, the Filtered Historical Simulation (FHS), are the most widely used Value-at-Risk forecast methods at commercial banks. These forecast methods are traditionally evaluated by means of the unconditional backtest. This paper formally shows that the...

Persistent link: https://www.econbiz.de/10013108779

Money Growth and Inflation : Implications of Reducing the Bias of VAR Estimates

Brannstrom, Tomas - 1998

A bivariate second-order VAR model of money growth and inflation is specified and estimated by means of least squares. The bias of the parameter estimates is approximated in three ways and new, bias-reduced estimates are computed using the approximations. The effects of bias reduction on...

Persistent link: https://www.econbiz.de/10014080725

Heteroskedastic Proxy Vector Autoregressions : Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies

Bruns, Martin; Lütkepohl, Helmut - 2022

We propose a test for time-varying impulse responses in heteroskedastic structural vector autoregressions that can be used when the shocks are identified by external proxy variables as a group. The test can be used even if the shocks are not identified individually. The asymptotic analysis is...

Persistent link: https://www.econbiz.de/10014084234

Estimation of Structural Impulse Responses : Short-Run Versus Long-Run Identifying Restrictions

Lütkepohl, Helmut - 2017

There is evidence that estimates of long-run impulse responses of structural vector autoregressive (VAR) models based on long-run identifying restrictions may not be very accurate. This finding suggests that using short-run identifying restrictions may be preferable. We compare structural VAR...

Persistent link: https://www.econbiz.de/10012962687

Supplement To 'Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets'

Fruet Dias, Gustavo - 2017

The online Supplement presents the proof the auxiliary Lemmas 1-6, the entire set of tables with results from the Monte Carlo and the empirical studies, and further discussion on selected topics.Full paper is available at: 'https://ssrn.com/abstract=2707176' https://ssrn.com/abstract=2707176

Persistent link: https://www.econbiz.de/10012968328

Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets

Fruet Dias, Gustavo - 2017

Vector Autoregressive Moving Average (VARMA) models. We overcome the estimation issue that arises with this class of models …

Persistent link: https://www.econbiz.de/10012970411

VAR Estimation with the Adaptive Elastic Net

Furman, Yoel - 2014

We propose the adaptive elastic net for estimating Vector Autoregressions. Unlike competing methods, this estimator preserves the standard structural-VAR toolkit but at the same time leads to accurate forecasts. We show validity of the bootstrap in constructing unconditional-on-model-selection...

Persistent link: https://www.econbiz.de/10013052239