A discussion on the robust vector autoregressive models: novel evidence from safe haven assets

The vector autoregressive (VAR) model has been popularly employed in operational practice to study multivariate time series. Despite its usefulness in providing associated metrics such as the impulse response function (IRF) and forecast error variance decomposition (FEVD), the traditional VAR model...

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Detalles Bibliográficos
Autores principales: Chang, Le, Shi, Yanlin
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2022
Materias:
Original Research
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9386210/
https://www.ncbi.nlm.nih.gov/pubmed/35996744
http://dx.doi.org/10.1007/s10479-022-04919-6

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9386210/
https://www.ncbi.nlm.nih.gov/pubmed/35996744
http://dx.doi.org/10.1007/s10479-022-04919-6

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