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On the seasonality of vector autoregression residuals
Burbidge, John B.; Magee, L.; Veall, Michael R. - In: Economics letters 18 (1985) 2/3, pp. 137-141
Persistent link: https://www.econbiz.de/10001966160
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Identification of seasonal effects in impulse responses using score-driven multivariate location models
Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - In: Journal of econometric methods 10 (2021) 1, pp. 53-66
Persistent link: https://www.econbiz.de/10012437812
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Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model
He, Changli; Kang, Jian; Teräsvirta, Timo; Zhang, Shuhua - 2019
Persistent link: https://www.econbiz.de/10012316885
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Seasonality detection in small samples using score-driven nonlinear multivariate dynamic location models
Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - 2018
Persistent link: https://www.econbiz.de/10011914526
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Seasonal quasi-vector autoregressive models with an application to crude oil production and economic activity in the United States and Canada
Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - 2018
Persistent link: https://www.econbiz.de/10011914528
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Seasonal quasi-vector autoregressive models for macroeconomic data
Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - 2018
Persistent link: https://www.econbiz.de/10011799946
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Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model
He, Changli; Kang, Jian; Teräsvirta, Timo; Zhang, Shuhua - In: Energy economics 97 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012821325
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Forecasting the Polish inflation using Bayesian VAR models with seasonality
Stelmasiak, Damian; Szafrański, Grzegorz - In: Central European journal of economic modelling and … 8 (2016) 1, pp. 21-42
Persistent link: https://www.econbiz.de/10011634880
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Do VaR exceptions have seasonality? : an empirical study on Indian commodity spot prices
Gupta, Apoorv; Rajib, Prabina - In: IIMB management review 30 (2018) 4, pp. 369-384
Persistent link: https://www.econbiz.de/10012042010
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Testing for deterministic seasonality in mixed-frequency VARs
Barrio Castro, Tomás del; Hecq, Alain W. J. - In: Economics letters 149 (2016), pp. 20-24
Persistent link: https://www.econbiz.de/10011620030