Discover how multivariate models use multiple variables for investment forecasting, risk analysis, and decision-making in ...

Extreme Value Theory (EVT) offers a rigorous framework for the statistical analysis of rare, high-impact events by focusing on the tail behaviour of distributions. This theory underpins methodologies ...

This is a preview. Log in through your library . Abstract Multivariate geostatistics is based on modelling all covariances between all possible combinations of two or more variables at any sets of ...

Matrix expressions relating the theoretical autocovariances of autoregressive moving average (ARMA) processes to their parameters are derived and used to design an efficient procedure for computing ...

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation We propose a framework to link empirical models of systemic risk to theoretical network/ general equilibrium models used to ...