Risk

Large vector autoregressive exogenous factor (VARX) model with network regularization

The vector autoregressive model has long been used for portfolio analysis, while a recent extension (VARX) incorporates exogenous factors. Despite its increased forecasting precision, the ...
Insurancenewsnet.com

Kwansei Gakuin University Researcher Provides New Study Findings on Risk Management (A Hybrid Model for Forecasting Realized Volatility Based on Heterogeneous Autoregressive ...

2024 FEB 06 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News-- Investigators publish new report on risk management. According to news originating from Hyogo, Japan, by NewsRx ...
RIETI独立行政法人経済産業研究所

Asymmetric Exchange Rate Pass-Through in Japanese Exports: Application of the threshold vector autoregressive model

This paper employs a threshold vector autoregressive (TVAR) model to analyze a possible asymmetric behavior of exchange rate pass-through (ERPT) or pricing-to-market (PTM) in Japanese exports between ...
Risk

A FAVAR modeling approach to credit risk stress testing and its application to the Hong Kong banking industry

In October 2018, the Basel Committee on Banking Supervision (BCBS) published its stress testing principles. One of these principles is about stress testing model validation, aided by business ...
Simon Fraser University

Autoregressive Moving Average Error Processes

A model with first-order autoregressive errors, AR(1), has the form while an AR(2) error process has the form and so forth for higher-order processes. Note that the ...
Simon Fraser University

Multivariate Time Series Analysis

The subroutines TSMULMAR, TSMLOMAR, and TSPRED analyze multivariate time series. The periodic AR model, TSPEARS, can also be estimated by using a vector AR procedure, since the periodic AR series can ...