Impulse response functions from time series models are standard tools for analyzing the relationship between economic variables. The asymptotic distribution of orthogonalized impulse responses is ...

This paper gives necessary and sufficient conditions for stationarity and existence of second moments in mixtures of linear vector autoregressive models with autoregressive conditional ...

A statistical model is autoregressive if it predicts future values based on past values (i.e., predicting future stock prices based on past performance).

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).

The generalized autoregressive conditional heteroskedasticity (GARCH) process is an econometric term used to describe an approach to estimate volatility in financial markets.

Using a Global Vector Autoregressive model with quarterly data from 1987 to 2022, we find that external factors such as the imported inflation from main trading partners, mainly driven by China, and ...