What univariate models can tell us about multivariate macroeconomic models

Alternatives to Large Var, Varma and Multivariate Stochastic Volatility Models

In this paper, our proposal is to combine univariate ARMA models to produce a variant of the VARMA model that is much more easily implementable and does not involve certain complications. The original model is reduced to a series of univariate problems and a copula – like term (a mixture-of-normals densities) is introduced to handle dependence. Since the univariate problems are easy to handle b...

Evaluation of Univariate, Multivariate and Combined Time Series Model to Prediction and Estimation the Mean Annual Sediment (Case Study: Sistan River)

Erosion, sediment transport and sediment estimate phenomenon with their damage in rivers is a one of the most importance point in river engineering. Correctly modeling and prediction of this parameter with involving the river flow discharge can be most useful in life of hydraulic structures and drainage networks. In fact, using the multivariate models and involving the effective other parameter...

Keeping it simple: what mouse models of Wolf-Hirschhorn syndrome can tell us about large chromosomal deletions.

Modelling Volatility Asymmetry of Business Cycles in the U.S

Most studies on the asymmetric and non-linear properties of US business cycles exclude the dimension of asymmetric conditional volatility. Engle (1982) proposes an autoregressive conditional heteroskedasticity (ARCH) model to capture the time-varying volatility of inflation rates in the United Kingdom. Weiss (1984) finds evidence of ARCH in the US industrial production. The ARCH model is then e...

Asymmetric Univariate and Bivariate Laplace and Generalized Laplace Distributions

Alternative specifications of univariate asymmetric Laplace models are described and investigated. A more general mixture model is then introduced. Bivariate extensions of these models are discussed in some detail, with particular emphasis on associated parameter estimation strategies. Multivariate versions of the models are briefly introduced.