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This paper introduces a new multivariate model for time series count data. The Multivariate Autoregressive Conditional Poisson model (MACP) makes it possible to deal withissues of discreteness, overdispersion (variance greater thant then mean) and both auto- and crosscorrelation. We model counts...
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We propose a new procedure to perform Reduced Rank Regression (RRR) in non-Gaussian contexts, based on Multivariate Dispersion Models. Reduced-Rank Multivariate Dispersion Models (RR-MDM) generalise RRR to a very large class of distributions, which include continuous distributions like the...
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Regulators in emerging markets are increasingly curtailing the practice of foreigncurrency lending. In such a move Turkish regulatory authorities banned foreign currencylending to households in 2009. This paper examines the evolution of financial dollarization inTurkey in the 2002–2009 period...
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