A Local Vector Autoregressive Framework and its Applications to Multivariate Time Series Monitoring and Forecasting
Authors: | Chen, Ying ; Li, Bo ; Niu, Linlin |
---|---|
Subject: | Adaptive estimation | Multivariate time series | Non-stationarity | Yield curve |
Series: | |
---|---|
Type of publication: | Book / Working Paper |
Notes: | published Number 2013-12-05 |
Classification: | C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; E47 - Forecasting and Simulation |
Source: |
-
A time series model of interest rates with the effective lower bound
Johannsen, Benjamin K., (2016)
-
GDP Growth Predictions Through the Yield Spread. Time-Variation and Structural Breaks
De Pace, Pierangelo, (2011)
-
The Time-Varying Leading Properties of the High Yield Spread in the United States
De Pace, Pierangelo, (2013)
- More ...
-
An adaptive approach to forecasting three key macroeconomic variables for transitional China
Niu, Linlin, (2015)
-
Forecasting the Term Structure of Option Implied Volatility: The Power of an Adaptive Method
Chen, Ying, (2018)
-
An adaptive approach to forecasting three key macroeconomic variables for transitional China
Niu, Linlin, (2015)
- More ...