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The effect of macroeconomic variables on the capital structure decisions of Indian firms@a vector error correction model/vector autoregressive approach

Khanna, Sakshi; Srivastava, Amit; Medury, Yajulu - In: International journal of economics and financial issues … 5 (2015) 4, pp. 968-978

Persistent link: https://www.econbiz.de/10011455345

Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions

Guillén, Osmani Teixeira de Carvalho; Hecq, Alain W. J.; … - 2013

Persistent link: https://www.econbiz.de/10011455896

Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions

Guillén, Osmani Teixeira de Carvalho; Hecq, Alain W. J.; … - 2014

Persistent link: https://www.econbiz.de/10011456434

Extended Yule-Walker identification of Varma models with single- or mixed-frequency data

Zadrozny, Peter A. - 2016

Chen and Zadrozny (1998) developed the linear extended Yule-Walker (XYW) method for determining the parameters of a vector autoregressive (VAR) model with available covariances of mixed-frequency observations on the variables of the model. If the parameters are determined uniquely for available...

Persistent link: https://www.econbiz.de/10011459174

Modeling and forecasting currency in circulation for liquidity management in Nigeria

Ikoku, Alvan - In: CBN journal of applied statistics 5 (2014) 1, pp. 79-104

This paper presents forecasts of currency in circulation prepared for liquidity management at the Central Bank of Nigeria. Forecasts were produced using ARIMA, ARIMA with structural variables, VAR and VEC models. The performance of the forecasts was then evaluated under a rolling forecast...

Persistent link: https://www.econbiz.de/10011474285

Time-varying effects of housing and stock returns on U.S. consumption

Simo-Kengne, Beatrice D.; Miller, Stephen M.; Gupta, Rangan - In: The journal of real estate finance and economics 50 (2015) 3, pp. 339-354

Persistent link: https://www.econbiz.de/10011474541

Comparison of methods for constructing joint confidence bands for impulse response functions

Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - In: International journal of forecasting 31 (2015) 3, pp. 782-798

Persistent link: https://www.econbiz.de/10011474568

Bootstrap multi-step forecasts of non-Gaussian VAR models

Fresoli, Diego; Ruiz, Esther; Pascual, Lorenzo - In: International journal of forecasting 31 (2015) 3, pp. 834-848

Persistent link: https://www.econbiz.de/10011474590

Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions

Guillén, Osmani Teixeira de Carvalho; Hecq, Alain W. J.; … - In: International journal of forecasting 31 (2015) 3, pp. 862-875

Persistent link: https://www.econbiz.de/10011474611

An introduction into the SVAR methodology : identification, interpretation and limitations of SVAR models

Gottschalk, Jan - 2001 - Preliminary, this version: August 2001

This paper aims to provide a non-technical introduction into the SVAR methodology. Particular emphasize is put on the approach to identification in SVAR models, which is compared to identification in simultaneous equation models. It is shown that SVAR models are useful tools to analyze the...

Persistent link: https://www.econbiz.de/10011476358