Vector Autoregressive Model and Analysis

DOI10.1007/978-3-030-54108-8_8MaRDI QIDQ5049432zbMATH OpenOpenAlexFDO

Authors Murat Akkaya

Publication date 11 November 2022

Published in Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-030-54108-8_8

zbMATH Keywords

EViewsGranger causalityvector autoregressive (VAR) models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites work

• scientific article; zbMATH DE number 4047369 (Why is no real title available?)
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

Cited in

(2)

• Vector Autoregressions and Causality
• On hysteretic vector autoregressive model with applications

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