impact on electricity price and volatility. In this paper, we employ a mixed-frequency vector autoregression (MF-VAR …) framework where we propose a VAR specification to the reverse unrestricted mixed-data sampling (RU-MIDAS) model, called RU-MIDAS-VAR … regressors can replicate some key characteristics of electricity prices. We also find the MF-VAR and RU-MIDAS-VAR models achieve …

We introduce a structural quantile vector autoregressive (VAR) model. Unlike standard VAR which models only the average … interaction of the endogenous variables, quantile VAR models their interaction at any quantile. We show how to estimate and …

We propose a statistical identification procedure for structural vector autoregressive (VAR) models that present a … discovery with continuous additive noise models to structural VAR analysis, we show that a large class of structural VAR models …

structural dynamics of VAR-based models and produces better impulse response estimates than the LASSO and BVAR … the problem of impulse response estimation in VAR-based systems. The BGSVAR is designed as a robust empirical framework … against conventional methods like the LASSO and BVAR. Our results show that the BGSVAR is more efficient in fitting the …