Results based on the VAR model
VaR -based Model for the Yield Curve*
... The model that results from this should, hopefully, provide us with not only an intuitive explanation for why a yield curve as- sumes a certain shape—be it normal, inverted or flat—it will also, among other ...
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The Risk Measurement of China’s Insurance Fund Investment—Based on VaR Model
... empirical results of the delta-normal method and the historical simulation me- thod show that when the confidence level is 95%, the VaR values of the two me- thods are close to each other, about 40 billion ...
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Study on determinants of Chinese trade balance based on Bayesian VAR model
... general model of Bayesian statistical inference is that a priori information plus sample information equal to posterior ...autoregressive model usually need data sequence estimation and the actual data ...
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Measurement of Dynamic Portfolio VaR Based on Mixed Vine Copula Model
... Copula model to measure portfolio risk, while also using Mean-CVaR to optimize the portfolio ...Copula model to predict the portfolio risk value. The results show that the R-Vine model ...
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The Virtues of VAR Forecast Pooling – A DSGE Model Based Monte Carlo Study
... forecasting model at hand, as, in our experimental setup, the forecasting performance of small–scale models should not be much worse than that of larger ...scale VAR–models with K = 2 endogenous variables ...
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Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk
... corresponding model-based stress testing methodology. Our results are compared with traditional stress tests and we assess the implications for capital ...our results we conclude that the new ...
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Diversification, Specialization and Health Insurance Industry Development —An Empirical Research Based on VAR Model
... 3) Based on the dynamic analysis results of impulse response and variance decomposition, in the short term, life insurance, property insur- ance, accident insurance have positive effect on health ...
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The Determinants of Enterprise Capital Structure and Its Dynamic Influence—Based on Panel VAR Model
... the results shown in the following Table 5. 4.5. Summary for the Results According to the estimation results in Table 4: the lag of the debt ratio has a positive impact on itself, and the lag phase 2 ...
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An empirical analysis of factors influencing China's real estate prices-based on the VAR model
... of VAR model is able to give the relatively important information of the random fluctuations in ...The results showed that among the source of variance in price fluctuations, the impact itself is the ...
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What does a technology shock do? A VAR analysis with model-based sign restrictions
... RBC model might in reality reflect that the actual economy has various nominal frictions, and monetary policy has successfully mitigated those frictions, as for instance recently argued by Altig et ...RBC ...
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VAR Model Averaging for Multi-Step Forecasting
... single-model based forecasts in empirical applications can be justified by a number of ...predictions based on an individual ...individual model. The mis–specification of a single model ...
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Comparison of Model Reduction Methods for VAR Processes
... elimination based on model selection criteria for a suitably chosen threshold value ...final model is obtained that also results by sequentially minimizing the selection criterion defined by ...
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Study on the Dynamic Relationship between Housing Price and Land Price in Shenzhen Based on VAR Model
... establish VAR model which is based on unit root test, co-integration test and analysis of Error Correction Model, and then it makes an empirical study on the relationship between housing price ...
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Shortcomings of a parametric VaR approach and nonparametric improvements based on a non-stationary return series model
... non-stationary model the main focus is set on the univariate return dynamics of financial time series, which is established by nonparametric curve estimation of the unconditional variances σ 2 (t) t and the ...
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The representative household's demand for money in a cointegrated VAR model
... The results suggest homothetic preferences, indicating that households are equally averse to variations in consumption and real money balances. The implied value of ω = ψ is 0.25 with a standard error of 0.021 ...
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A structural Bayesian VAR for model-based fan charts
... the VAR are evaluated against actual inflation numbers based a seasonally adjusted CPI ...numbers based on the original CPI ...the VAR and naïve ...the VAR, we think that they still can ...
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Further Results on Identification of Structural VAR Models
... ). Otherwise we can only hope for the identification almost everywhere [Lebesgue]. Important contribution of RWZ was realizing us that if SVAR under restrictions (2) is identified at arbitrary parameter point then the ...
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Implementation of a 3D-Var system for atmospheric profiling data assimilation into the RAMS model: initial results
... Another difference between the 3D-Var and RAMDAS is that the former uses the zonal and meridional wind compo- nents as control variables while RAMDAS uses the velocity potential and stream function. Using the ...
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Research on the Hedging of CSI300 Stock Index Future Based on VaR and CVaR Model
... set VaR and CVaR as hedging objective function of the hedging model in China and proposed the hedging effect measurement method based on VaR and ...hedging model of stock index future ...
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The Structural Relationship between Chinese Money Supply and Inflation Based on VAR Model
... Keywords Money Supply, The VAR Model, Inflation 1. Introduction With the continuous development of China’s economy, indicators such as gross national product, consumer price index and money supply have been ...
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