This paper derives the asymptotic mean square error of multistep prediction for the general vector autoregressive process. For one-step-ahead prediction the result is ...
This article examines frequentist risks of Bayesian estimates of vector autoregressive (VAR) regression coefficient and error covariance matrices under competing loss ...
Thomas J Catalano is a CFP and Registered Investment Adviser with the state of South Carolina, where he launched his own financial advisory firm in 2018. Thomas' experience gives him expertise in a ...
The recent financial crisis raises important issues about the transmission of financial shocks across borders. In this paper, a global vector autoregressive (GVAR) model is constructed to assess the ...
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