Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...

Spatial econometrics addresses the challenges posed by spatially correlated data, enabling researchers to understand and quantify how economic phenomena in one location can influence those in ...

The model assumed is first-order autoregressive with contemporaneous correlation between cross sections. In this model, the covariance matrix for the vector of random errors u can be expressed as A ...

This paper considers semiparametric inference for longitudinal data collected at irregular and possibly subject-specific times. We propose an irregular time ...

The vector autoregressive model has long been used for portfolio analysis, while a recent extension (VARX) incorporates exogenous factors. Despite its increased forecasting precision, the ...

This is a preview. Log in through your library . Abstract This paper derives the explicit expressions for the determinant and exact inverse of the covariance matrix of a multivariate autoregressive ...

To capture the "long-memory" effect in volatility, a multiplicative component conditional autoregressive range (MCCARR) model is proposed. We show theoretically that the MCCARR model can capture the ...