Nonlinear Fore(Back)Casting and Innovation Filtering for Causal–Noncausal VAR Models.

We show that the mixed causal–noncausal vector autoregressive (VAR) processes satisfy the Markov property in both calendar and reverse time. Based on that property, we introduce closed-form formulas of forward and backward predictive densities for point and interval forecasting and backcasting out-o...

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Publicado en:	Journal of Financial Econometrics Vol. 24; no. 2; pp. 1 - 25
Autores principales:	Gourieroux, Christian, Jasiak, Joann
Formato:	Artículo
Publicado:	Oxford University Press / USA 2026
Materias:	Forecasting Vector autoregression model Markov processes Distribution (Probability theory) Impulse response Time series analysis Autoregressive models
Acceso en línea:	Ver este registro en EBSCOhost