Download or read book The Cointegrated VAR Model written by Katarina Juselius and published by OUP Oxford. This book was released on 2006-12-07 with total page 478 pages. Available in PDF, EPUB and Kindle. Book excerpt: This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of insights into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of the common stochastic trends and the impulse response functions, providing in each case illustrations of applicability. This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory while also revealing the full implications for the underlying economic model. To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.
Download or read book Recovery Plan for the Davis Green Pitaya Echinocereus Viridiflorus Engelm Var Davisii Houghton L Benson written by Kenneth D. Heil and published by . This book was released on 1984 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book VaR Methodology for Non Gaussian Finance written by Marine Habart-Corlosquet and published by John Wiley & Sons. This book was released on 2013-05-06 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: With the impact of the recent financial crises, more attention must be given to new models in finance rejecting “Black-Scholes-Samuelson” assumptions leading to what is called non-Gaussian finance. With the growing importance of Solvency II, Basel II and III regulatory rules for insurance companies and banks, value at risk (VaR) – one of the most popular risk indicator techniques plays a fundamental role in defining appropriate levels of equities. The aim of this book is to show how new VaR techniques can be built more appropriately for a crisis situation. VaR methodology for non-Gaussian finance looks at the importance of VaR in standard international rules for banks and insurance companies; gives the first non-Gaussian extensions of VaR and applies several basic statistical theories to extend classical results of VaR techniques such as the NP approximation, the Cornish-Fisher approximation, extreme and a Pareto distribution. Several non-Gaussian models using Copula methodology, Lévy processes along with particular attention to models with jumps such as the Merton model are presented; as are the consideration of time homogeneous and non-homogeneous Markov and semi-Markov processes and for each of these models. Contents 1. Use of Value-at-Risk (VaR) Techniques for Solvency II, Basel II and III. 2. Classical Value-at-Risk (VaR) Methods. 3. VaR Extensions from Gaussian Finance to Non-Gaussian Finance. 4. New VaR Methods of Non-Gaussian Finance. 5. Non-Gaussian Finance: Semi-Markov Models.
Download or read book Draft Recovery Plan for Sidalcea Oregana Var Calva Wenatchee Mountains Checker mallow written by and published by . This book was released on 2003 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book On Fairness Justice and VAR written by Jorge Tovar and published by Springer Nature. This book was released on 2021-11-01 with total page 93 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book analyzes the 2018 and 2019 men's and women's World Cups to understand how the use of Video Assistant Referees (VAR) affected each tournament. Unlike goal technology, where the decision is entirely left to the machine's algorithm, the VAR still has a human component, making it prone to errors and controversies. Building on the theories of justice, the book quantitatively reviews event-level data while using a historical perspective to depict a novel approach to the effects of VAR in major soccer tournaments. The six chapters examine the use of VAR, discuss when it was not used (but maybe should have been used), and explore how the World Cup evolved with the new technology. Combining the VAR events of 2018 and 2019 with comparable situations from past World Cups guides the reader into debating the meaning of justice and the potential of ever achieving fairness in soccer.
Download or read book Topics in Structural VAR Econometrics written by Gianni Amisano and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years a growing interest in the structural V AR approach (SV AR) has followed the path-breaking works by Blanchard and Watson (1986), Bernanke (1986) and Sims (1986), especially in the U.S. applied macroeconometric literature. The approach can be used in two different, partially overlapping, directions: the interpretation of business cycle fluctuations of a small number of significant macroeconomic variables and the identification of the effects of different policies. SV AR literature shows a common feature: the attempt to "organise", in a "structural" theoretical sense, instantaneous correlations among the relevant variables. In non-structural V AR modelling, instead, correlations are normally hidden in the variance covariance matrix of the V AR model innovations. of independent V AR analysis tries to isolate ("identify") a set shocks by means of a number of meaningful theoretical restrictions. The shocks can be regarded as the ultimate source of stochastic variation of the vector of variables which can all be seen as potentially endogenous. Looking at the development of SV AR literature we felt that it still lacked a formal general framework which could embrace the several types of models so far proposed for identification and estimation. This is the second edition of the book, which originally appeared as number 381 of the Springer series "Lecture notes in Economics of the first edition was Carlo and Mathematical Systems". The author Giannini.
Download or read book Topics in Structural VAR Econometrics written by Carlo Giannini and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt: 1. Introduction 1 2. Identification Analysis and F.I.M.L. Estimation for the K-Mode1 10 3. Identification Analysis and F.I.ML. Estimation for the C-Model 23 4. Identification Analysis and F.I.M.L. Estimation for the AB-Model 32 5. Impulse Response Analysis and Forecast Error Variance Decomposition in SVAR Modeling 44 5 .a Impulse Response Analysis 44 5.b Variance Decomposition (by Antonio Lanzarotti) 51 6. Long-run A-priori Information. Deterministic Components. Cointegration 58 6.a Long-run A-priori Information 58 6.b Deterministic Components 62 6.c Cointegration 65 7. The Working of an AB-Model 71 Annex 1: The Notions ofReduced Form and Structure in Structural VAR Modeling 83 Annex 2: Some Considerations on the Semantics, Choice and Management of the K, C and AB-Models 87 Appendix A 93 Appendix B 96 Appendix C (by Antonio Lanzarotti and Mario Seghelini) 99 Appendix D (by Antonio Lanzarotti and Mario Seghelini) 109 References 128 Foreword In recent years a growing interest in the structural VAR approach (SVAR) has followed the path-breaking works by Blanchard and Watson (1986), Bemanke (1986) and Sims (1986), especially in U.S. applied macroeconometric literature. The approach can be used in two different, partially overlapping directions: the interpretation ofbusiness cycle fluctuations of a small number of significantmacroeconomic variables and the identification of the effects of different policies.
Download or read book Black Lace Cactus Echinocereus Reichenbachii Var Albertii Recovery Plan written by Sue Gardner and published by . This book was released on 1987 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Classification of Pinus Patula P Tecunumanii P Oocarpa P Caribaea Var Hondurensis and Related Taxonomic Entities written by A. E. Squillace and published by . This book was released on 1992 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Monetary Policy Transmission in Mauritius Using a VAR Analysis written by Mr.Charalambos G. Tsangarides and published by International Monetary Fund. This book was released on 2010-02-01 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: Applying commonly used vector autoregression (VAR) techniques, this paper investigates the transmission mechanism of monetary policy on output and prices for Mauritius, using data for 1999-2009. The results show that (i) an unexpected monetary policy tightening-an increase in the Bank of Mauritius policy interest rate-leads to a decline in prices and output but the effect on output is weaker; (ii) an unexpected decrease in the money supply or an unexpected increase in the nominal effective exchange rate result in a decrease in prices; and (iii) variations of the policy variables account for small a percentage of the fluctuations in output and prices. Taken together, these results suggest a rather weak monetary policy transmission mechanism. Finally, we find some differences in the transmission mechanism depending on whether core or headline consumer price index is used in the estimations.
Download or read book I Can t Stop Thinking About VAR written by Daisy Christodoulou and published by Swift Press. This book was released on 2024-11-07 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt: Is it football any more? 'Everyone involved in the VAR controversy should read this short, beautifully-written book and think again' Sir Michael Barber In 2019, the English Premier League introduced the Video Assistant Referee (VAR), a way of using technology to review and correct the on-field referee's decisions. It's been a disaster: players hate it, managers hate it, pundits line up to pour scorn on its decisions, and fans have coined the chant 'it's not football any more' to describe its effect on the game. Almost every other sport in the world has managed to integrate technology into its decision-making process. Why is football failing so badly? Is it a special case, or have the game's authorities got something wrong? And what does the controversy about VAR tell us about the nature of authority, rationality and technology in the 21st century?
Download or read book Buez ar S nt gant Reflexionou Spirituel var o c ha ra actionou pere a ell servichout da veditation evit pep deiz eus ar bloas Lequet e Brezonec gant C G Marigo written by Clauda Guillou MARIGO and published by . This book was released on 1824 with total page 842 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mis ar Galon Sacr a Jesus var an tri bloas ha tregont tremenet gant J C var an douar Lequeet e Brezonnec from the French gant an autrou J F Roux written by and published by . This book was released on 1842 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book On the Heterogeneity Bias of Pooled Estimators in Stationary VAR Specifications written by Mr.Alessandro Rebucci and published by International Monetary Fund. This book was released on 2003-04-01 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies asymptotically the bias of the fixed effect (FE) estimator induced by cross-section heterogeneity in the slope parameters of stationary vector autoregressions (VARs). The paper also compares the FE, the mean group estimator (MG), and a simple instrumental variable alternative (IV) in Monte Carlo simulations. The main results are: (i) asymptotically, the heterogeneity bias of the FE may be more or less severe in VAR specifications than in standard dynamic panel data specifications; (ii) in Monte Carlo simulations, slope heterogeneity must be relatively high to be a source of concern for pooled estimators; (iii) when this happens, the panel must be longer than a typical macro dataset for the MG to be a viable solution.
Download or read book The Origin and Structure of Adventitious Roots in Cornus Californica Var Pubescens written by Mildred Hollis and published by . This book was released on 1922 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Report on Analysis of the 260 Day Value at Risk VAR of Portfolio of Shares written by Calvin Monroe and published by GRIN Verlag. This book was released on 2014-02-28 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: Scientific Essay from the year 2012 in the subject Business economics - Investment and Finance, grade: B, King`s College London, language: English, abstract: For quite a long time now the main concern for investors as well as regulators of financial markets has been the risk of catastrophic market and the sufficiency of capital needed to counter such kind of risk when it occurs. Many institutions have undergone loses despite their gigantic nature and good forecasting and this has been associated with inappropriate forms of pricing and poor management together with the fraudulent cases, factors that have always brought the issue of managing risk and regulating these financial markets to the level of public policy as well as discussion. A basic tool that has been identified as being effective in the assessment of financial risk is the Value at Risk (VaR) process (Artzner, et al., 1997). The VaR has been figured out as being an amount that is lost on a given form of portfolio including a small probability in a certain fixed period of time counted in terms of days. VaR however poses a major challenge during its implementation and this has more to do with the specification of the kind of probability distribution having extreme returns that is made use of during the calculation of the estimates used in the VaR analysis (Mahoney, 1996; McNeil & Frey, 2000; Dowd, 2001). As has been noted, the nature of VaR estimation majorly does depend on the accurate predictions of some uncommon events or risks that are catastrophic. This is attributed to the fact that VaR is a calculation made from the lowest portfolio returns. For this reason, any form of calculation that is employed in the estimation of VaR must be able to encompass the tail events’ prediction and make this its primary goal (Chiang, et al., 2007; Engle, 2002; Engle & Kroner, 1995; Engle & Rothschild, 1990; Francis, et al., 2001). There have been statistical techniques as well as thumb rules that many researchers argue as having been very instrumental in the prediction and analysis of intra-day and in most cases day-to-day risk. These are however; not appropriate for the analysis of VaR. The predictions of VaR now fall under parametric predictions that encompass conditional volatilities and non-parametric prediction that incorporate the unconditional volatilities (Jorion, 2006; Jorion, 2007).
Download or read book Var written by Mina Carter and published by Three Owls Publishing. This book was released on 2021-04-27 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt: She’d do anything to find her daughter - even make a bargain with a beast. Leia wants nothing to do with the aliens who invaded Earth. They’re powerful, dangerous creatures who are a threat to every surviving human, especially women like her. When alien raiders take her daughter, she’s left with only one chance to see her again. Find one of the aliens and offer him a deal. She never expected the beast she found would be the new Overseer’s personal bodyguard. And she never imagined what would happen when she agreed to be claimed by an alien warrior named Var... He came to this planet as a conqueror - only to find a female who brought him to his knees. Var’s orders were simple. Deal with a rogue warrior and protect the inhabitants of a human village. Then she ran into view... Leia isn’t like any female he’s ever seen. She defies and confounds him, but there’s no mistaking what she is… his. This series contains hot, growly aliens on a mission to find their mates - and a group of women determined to free their planet... and themselves. Keywords: alien romance, dark romance, shifter romance, alpha hero, alien invasion romance
