Browsing BI Open by Subject "VAR"

Now showing items 1-2 of 2

    • Forecasting Cryptocurrencies Financial Time Series 

      Catania, Leopoldo; Grassi, Stefano; Ravazzolo, Francesco (CAMP Working Paper Series;5, Working paper, 2018-03)
      This paper studies the predictability of cryptocurrencies time series. We compare several alternative univariate and multivariate models in point and density forecasting of four of the most capitalized series: Bitcoin, ...

    • A homogeneous approach to testing for Granger non-causality in heterogeneous panels 

      Juodis, Artūras; Karavias, Yiannis; Sarafidis, Vasilis (Peer reviewed; Journal article, 2021)
      This paper develops a new method for testing for Granger non-causality in panel data models with large cross-sectional (N) and time series (T) dimensions. The method is valid in models with homogeneous or heterogeneous ...