Journal of the Royal Statistical Society. Series A (Statistics in Society), Vol. 182, No. 3 (2019), pp. 831-861 (31 pages) The paper develops a global vector auto-regressive model with time varying ...

A mismatch between the timescale of a structural vector auto-regressive model and that of the time series data used for its estimation can have serious consequences for identification, estimation and ...

Dr. James McCaffrey from Microsoft Research presents a complete end-to-end demonstration of the linear support vector regression (linear SVR) technique, where the goal is to predict a single numeric ...

This paper shows that vector auto regression (VAR) with Bayesian shrinkage is an appropriate tool for large dynamic models. We build on the results of De Mol and co-workers (2008) and show that, when ...

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those ...

The Basel Accords allow banks to estimate credit risk. Accordingly, more attention has been dedicated recently to the analysis of loss given default (LGD) and the development of an LGD estimation ...

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation This paper constructs a financial conditions index for Poland to explore the link between financial conditions and real ...