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A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables
erm structure dynamics macroeconomic
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2015/7/23
We describe the joint dynamics of bond yields and macroeconomic variables in a Vector
Autoregression, where identifying restrictions are based on the absence of arbitrage. Using a
term structure mod...
Capital requirements on ordered topological vector spaces: finiteness, continuity and optimality
ordered topological vector spaces Frechet and Banach lattices acceptance sets eligible asset risk measures capital adequacy Value-at-Risk Tail Value-at-Risk
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2012/9/14
We discuss finiteness (effectiveness), continuity (robustness) and optimality (efficiency) results for capital requirements, or risk measures, defined for financial positions belonging to an ordered t...
Large Vector Auto Regressions
Time Series Vector Auto Regression Regularization Lasso Group Lasso Oracle estimator
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2011/7/5
One popular approach for nonstructural economic and nancial forecasting is to include a
large number of economic and nancial variables, which has been shown to lead to signi cant
improvements for ...
Bayesian Cointegrated Vector Autoregression models incorporating Alpha-stable noise for inter-day price movements via Approximate Bayesian Computation
Cointegrated Vector Autoregression -stable Approximate Bayesian Computation
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2010/10/21
We consider a statistical model for pairs of traded assets, based on a Cointegrated Vector Auto Regression (CVAR) Model. We extend standard CVAR models to incorporate estimation of model parameters in...
Computation of vector sublattices and minimal lattice-subspaces of R^k. Applications in finance
computational methods minimal lattice-subspaces vector sublattices
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2010/10/20
In this article we perform a computational study of Polyrakis algorithms presented in [12,13]. These algorithms are used for the determination of the vector sublattice and the minimal lattice-subspac...
Cointegrated Vector Autoregressive Models with Adjusted Short-Run Dynamics
Cointegration adjusted short-run dynamics parameter change likelihood ratio test
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2010/9/8
A family of cointegrated vector autoregressive models with adjusted short-run dynamics is introduced. These models can describe evolving short-run dynamics in a more flexible way than standard vector ...
Forecasting with time-varying vector autoregressive models
time-varying vector autoregressive models
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2010/12/13
The purpose of this paper is to propose a time-varying vector autoregressive model (TV-VAR) for forecasting multivariate time series. The model is casted into a state-space form that allows flexible ...
Modified Two-stage Least-squares Estimators For the Estimation of A Structural Vector...
Structural vector autoregression Unit root Cointegration Asymptotic properties Hypothesis testing
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2011/4/2
We consider the estimation of a structural vector autoregressive model of nonstationary and possibly cointegrated variables without the prior knowledge of unit roots or rank of cointegration. We propo...