A new robust version of Support Vector Machine (SVM) based on value-at-risk (VaR) measure referred to as VaR-SVM is proposed in three closely related formulations, and relationships between those VaRSVM formulations is established. In contrast to classical SVMs (hard-margin SVM, soft-margin SVM, and ν-SVM), VaR-SVM is stable to data outliers. Computational experiments confirm that compared to ν...

Purpose The purpose of the paper is to examine differences in impact financial stress advanced and emerging economies. Design/methodology/approach authors employ a panel vector autoregression model (PVAR) for comparative analysis relationship between stress, economic growth monetary stability 14 A homogeneous measure constructed measured as an index that provides signals episodes economy. Findi...

This paper documents the evolution of variables central to understanding the creation of an Atlantic Economy in wheat between the US and the UK in the nineteenth century. The cointegrated VAR model is then applied to the period 1838-1913 in order to find long-run relationships between these variables. The main result is that explanations for the expansion of trade based on falling barriers to t...

A survey is given of some results obtained for the cointegrated VAR. The Granger representation theorem is discussed and the notions of cointegration and common trends Ž . are defined. The statistical model for cointegrated I 1 variables is defined, and it is shown how hypotheses on the cointegrating relations can be estimated under suitable identification conditions. The asymptotic theory is b...

In this paper we propose a strategy for forecasting the term structure of interest rates which may produce significant gains in predictive accuracy. The key idea is to use the restrictions implied by Affine Term Structure Models (ATSM) on a vector autoregression (VAR) as prior information rather than imposing them dogmatically. This allows to account for possible model misspecification. We appl...

The ”irrational exuberance” of the stock market in the late 1990’s lead to a discussion of the appropriate policy response by monetary authorities. Any response would be contingent on the stock market reaction to policy shocks. In this study I employ a structural VAR to estimate the response of the stock market returns to innovations in the federal funds rate. The effect of the stock market on ...

The traditional Value at Risk (VaR) is a very popular tool measuring market risk, but it does not incorporate liquidity risk. This paper proposes an extended VaR model to integrate liquidity risk for intraday trading strategies using high frequency order book data. We estimate the one step ahead liquidity adjusted intraday VaR called(LAIVaR) for both bid and ask positions, considering several t...

A positive technology shock may lead to a rise or a fall in per capita hours, depending on how hours enter the empirical VAR model. We provide evidence that, independent of how hours enter the VAR, a positive technology shock leads to a weak response in nominal wage inflation, a modest decline in price inflation, and a modest rise in the real wage in the short-run and a permanent rise in the lo...

Intercept and deterministic trend functions are known to have a substantial effect on cointegration analysis, and notably on the asymptotic distributions of various test statistics. In this paper we propose a unifying approach to the analysis of cointegrated vector autoregressions by allowing for a wide class of trend functions. Next, estimates of these trends are incorporated in the asymptotic...