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A VAR with p lags can always be equivalently rewritten as a VAR with only one lag by appropriately redefining the dependent variable. The transformation amounts to stacking the lags of the VAR(p) variable in the new VAR(1) dependent variable and appending identities to complete the precise number of equations. For example, the VAR(2) model
The variance decomposition indicates the amount of information each variable contributes to the other variables in the autoregression. It determines how much of the ...
In statistics and econometrics, Bayesian vector autoregression (BVAR) uses Bayesian methods to estimate a vector autoregression (VAR) model. BVAR differs with standard VAR models in that the model parameters are treated as random variables, with prior probabilities, rather than fixed values.
The 5% Value at Risk of a hypothetical profit-and-loss probability density function. Value at risk (VaR) is a measure of the risk of loss of investment/capital.It estimates how much a set of investments might lose (with a given probability), given normal market conditions, in a set time period such as a day.
In financial mathematics, tail value at risk (TVaR), also known as tail conditional expectation (TCE) or conditional tail expectation (CTE), is a risk measure associated with the more general value at risk.
Frigid, then mild. After wind chills dipped below zero across the mountains of the Appalachians Friday, conditions are expected to improve through the next couple of days as southwesterly winds ...
This implies that in a weighted sum of variables, the variable with the largest weight will have a disproportionally large weight in the variance of the total. For example, if X and Y are uncorrelated and the weight of X is two times the weight of Y, then the weight of the variance of X will be four times the weight of the variance of Y.
Trials of a low-cost alternative to football's video assistant referee are to be extended, with the pilot system allowing managers two challenges per game. Rule maker Ifab has been encouraged by ...