The vector autoregressive model has long been used for portfolio analysis, while a recent extension (VARX) incorporates exogenous factors. Despite its increased forecasting precision, the ...

This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs). After describing the Bayesian principle of estimation, we first present the ...

This is a preview. Log in through your library . Abstract An expression for the likelihood function of a stationary vector autoregressive-moving average process is developed. The expression is very ...

This paper empirically investigates the effectiveness of monetary policy transmission in the Gulf Cooperation Council (GCC) countries using a structural vector autoregressive model. The results ...

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This paper employs a threshold vector autoregressive (TVAR) model to analyze a possible asymmetric behavior of exchange rate pass-through (ERPT) or pricing-to-market (PTM) in Japanese exports between ...

A model with first-order autoregressive errors, AR(1), has the form while an AR(2) error process has the form and so forth for higher-order processes. Note that the ...

This paper presents an exchange rate model for the Euro exchange rates of four major currencies, namely the US dollar, the British pound, the Japanese yen and the Swiss franc. The model is based on ...