This project implements a Vector Autoregression (VAR)–based framework to derive macroeconomic scenario weights for Expected Credit Loss (ECL) estimation, inspired by Moody’s Analytics (2019).

This repository contains the code and data used to obtain simulation study and applications results for "NIRVAR: Network Informed Restricted Vector Autoregression ...

This paper proposes a “quasi-agnostic” sign restriction procedure to identify structural shocks in frequentist structural vector autoregression (SVAR) models. It argues that low acceptance rates, ...

Abstract: Nonlinear vector autoregression (NVAR), as an effective alternative to traditional reservoir computing (RC), has garnered significant attention in the field of time series prediction in ...