Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions
Osmani Teixeira Guillén, Alain Hecq, João Victor Issler, Diogo Saraiva
| Year of publication: |
July-September 2015
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|---|---|
| Authors: | Guillén, Osmani Teixeira de Carvalho ; Hecq, Alain W. J. ; Issler, João Victor ; Saraiva, Diogo |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 31.2015, 3, p. 862-875
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| Subject: | Forecasting | Multivariate models | Vector autoregression (VAR) | Present-value restrictions | Common cycles | Cointegration | Interest rates | Prices and dividends | Theorie | Theory | VAR-Modell | VAR model | Kointegration | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Multivariate Analyse | Multivariate analysis | Dividende | Dividend | Zins | Interest rate |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2015.02.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011474611