<--- Back to Details
First PageDocument Content
Markov models / Autoregressive conditional heteroskedasticity / Markov chain / Vector autoregression / Economic model / Expectation–maximization algorithm / Forecasting / SETAR / Statistics / Time series analysis / Econometrics
Date: 2013-08-02 05:44:48
Markov models
Autoregressive conditional heteroskedasticity
Markov chain
Vector autoregression
Economic model
Expectation–maximization algorithm
Forecasting
SETAR
Statistics
Time series analysis
Econometrics

Regime-switching global vector autoregressive models

Add to Reading List

Source URL: www.ecb.europa.eu

Download Document from Source Website

File Size: 1,82 MB

Share Document on Facebook

Similar Documents

Time series analysis / Statistics / Time series models / Autoregressive conditional heteroskedasticity / Noise / CUSUM / Time series / Autoregressive conditional duration / Economic model / Autoregressive model / Parameter / ACD

Ann Inst Stat Math:621–637 DOIs10463x Parameter change test for autoregressive conditional duration models Sangyeol Lee1 · Haejune Oh1

DocID: 1rjRw - View Document

Mathematical finance / Financial risk / Economy / Finance / Money / Actuarial science / Technical analysis / Volatility / Autoregressive conditional heteroskedasticity / Market risk / RiskMetrics / Value at risk

Multiple-Period Market Risk Prediction under Long Memory: When VaR is Higher than Expected∗ Harald Kinateder† Niklas Wagner‡ Version: January 2014

DocID: 1rjdO - View Document

Statistics / Regression analysis / Time series analysis / Statistical inference / Quantile / Bootstrapping / Autocorrelation / Autoregressive conditional heteroskedasticity

The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series∗ Heejoon Han† Oliver Linton‡

DocID: 1rgRd - View Document

Mathematical finance / Applied mathematics / Economy / Academia / Volatility / Autoregressive conditional heteroskedasticity / Stochastic volatility / Implied volatility

Microsoft Word - EBVM13docx

DocID: 1raO6 - View Document

Economics / Labour economics / Macroeconomic model / Autoregressive conditional heteroskedasticity / Economy

A Distributional Framework for Matched Employer Employee Data ∗ St´ephane Bonhomme

DocID: 1r913 - View Document