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Autoagression

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4 documents available in our comprehensive collection of Autoagression resources. Find practical guides, tutorials, and documentation to enhance your knowledge.

Preview of Forecasting and Stress Testing with Quantile Vector Autoregression
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Forecasting and Stress Testing with Quantile Vector Autoregression (f124007.pdf)

2.95 MBAuthorEN 27 pages
Researchers introduce a quantile vector autoregressive model, allowing for the modeling of interactions between any quantile of endogenous variables, unlike...
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[PDF] (agarSDM21.pdf)

1.77 MBEN 9 pages
AttnAR (attention-based autoregression) is a novel approach for multivariate time series forecasting, addressing limitations of previous models by capturing...
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Download the full paper (ds21-project-agusti-et-al.pdf)

5.79 MBMarc Agustí ([email protected]); Patrick Altmeyer ([email protected]); IgnaEN 34 pages
Vector Autoregression (VAR) models are widely used for forecasting macroeconomic time series data, but recent advancements in computational power and deep...
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Preview of Contagious Switching
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Contagious Switching (2019-014.pdf)

2.76 MBEN 46 pages
The authors analyze the propagation of recessions across countries using a model that allows for multiple qualitative state variables in a vector...
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