نتایج جستجو برای: bayesian vector autoregressive
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In this paper, we take a step forward from the existing monetary literature, which is largely dominated by vector autoregressive (VAR) and structural vector autoregressive (SVAR) models, and apply a vector autoregressive moving average (VARMA) methodology for modelling and analysing Malaysian monetary policy. The Malaysian economy is an interesting case study of a small open economy with capita...
This work describes a Bayesian approach for model selection in Gaussian conditional autoregressive models and Gaussian simultaneous autoregressive models which are commonly used to describe spatial lattice data. The approach is aimed at situations when all competing models have the same mean structure, but differ on some aspects of their covariance structures. The proposed approach uses as sele...
In this study, we model the long-term and dynamic relationships between spot oil and exchange rates and gas prices by applying the Markov switching vector self-regression model in three regional gas markets in USA, Europe and Asia. Price behavior is analyzed using Bayesian estimation to take into account the transition from an existing relationship and the delayed and recurring effects of pric...
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