Vector autoregression with exogenous variables (VARX) has been used as a powerful model for portfolio returns. We provide a regularization method, based on network analysis, that reduces the ...

For more information on this research see: A Hybrid Model for Forecasting Realized Volatility Based on Heterogeneous Autoregressive Model and Support Vector Regression. Risks, 2024,12 (1).

This article develops a new Bayesian Poisson vector autoregression model that can characterize endogenous dynamic counts with no restrictions on the contemporaneous correlations. Impulse responses, ...

A structural vector autoregression model is developed to analyze the dynamics of bond spreads among a sample of mature and developing countries during periods of financial stress in the last decade.

In many respects political scientists agree about how best to model political processes. But we disagree about how to translate our theories into structural equations; each of us seems to have our own ...

The recent financial crisis raises important issues about the transmission of financial shocks across borders. In this paper, a global vector autoregressive (GVAR) model is constructed to assess the ...