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Robust covariance matrix estimation with data-dependent VAR prewhitening order
Den Haan, Wouter J.; Levin, Andrew T. - 2000
Persistent link: https://www.econbiz.de/10001500668
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Robust covariance matrix estimation with data-dependent var prewhitening order
Den Haan, Wouter J.; Levin, Andrew T. - 2000
Persistent link: https://www.econbiz.de/10001489979
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Robust Covariance Matrix Estimation with Data-Dependent VAR Prewhitening Order
den Haan, Wouter J.; Levin, Andrew T. - 2021
This paper analyzes the performance of heteroskedasticity-and-autocorrelation-consistent (HAC) covariance matrix estimators in which the residuals are prewhitened using a vector autoregressive (VAR) filter. We highlight the pitfalls of using an arbitrarily fixed lag order for the VAR filter, and...
Persistent link: https://www.econbiz.de/10013212913
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Effect of cross correlations in error terms on the model selection criteria for the stationary VAR process
Kose, Nezir; Ucar, Nuri - In: Applied economics letters 13 (2006) 4, pp. 223-228
Persistent link: https://www.econbiz.de/10003382400
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Testing instantaneous causality in presence of nonconstant unconditional covariance
Gianetto, Quentin Giai; Rai͏̈ssi, Hamdi - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 46-53
Persistent link: https://www.econbiz.de/10011389673
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An econometric approach to incorporating non-normality in VaR measurement
Gumbo, Victor; Siziba, Simiso - In: Journal of mathematical finance 6 (2016) 1, pp. 82-98
Persistent link: https://www.econbiz.de/10011543127
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Macroeconomic forecasting and structural analysis through regularized reduced-rank regression
Bernardini, Emmanuela; Cubadda, Gianluca - In: International journal of forecasting 31 (2015) 3, pp. 682-691
Persistent link: https://www.econbiz.de/10011474523
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Analyzing Multiple Vector Autoregressions Through Matrix-Variate Normal Distribution with Two Covariance Matrices
Wichitaksorn, Nuttanan - 2017
This paper proposes a new approach to analyze multiple vector autoregressive (VAR) models that render us a newly constructed matrix autoregressive (MtAR) model based on a matrix-variate normal distribution with two covariance matrices. The MtAR is a generalization of VAR models where the two...
Persistent link: https://www.econbiz.de/10012943981
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Dude Where's My VaR? Annualising Volatility with Serial Correlation
Scott, Robert B. - 2017
fail to adjust for serial correlation in fund, index and relative return data. The standard deviation of daily, weekly and … are surprisingly rare. As a result, serial correlation in returns data requires an adjustment to the annualised volatility … calculation. This paper describes the rationale for this methodology and simple but necessary adjustments for serial correlation …
Persistent link: https://www.econbiz.de/10012975781
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Large Bayesian VARs : A Flexible Kronecker Error Covariance Structure
Chan, Joshua C. C. - 2015
We introduce a class of large Bayesian vector autoregressions (BVARs) that allows for non-Gaussian, heteroscedastic and serially dependent innovations. To make estimation computationally tractable, we exploit a certain Kronecker structure of the likelihood implied by this class of models. We...
Persistent link: https://www.econbiz.de/10013012327