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The paper focuses on short-term forecasting of air pollutants including SO2, NO2, O3 and PM2.5. A hybrid model of nonlinear autoregressive with exogenous input (NARX) network and autoregressive moving average (ARMA) is applied. The NARX network is used to solve the problem of nonlinear and multidimensional while the ARMA model is aimed to improve the flexibility for different pollutants. The performance...
Two models are examined in this study: Vector Autoregressive Model (VAR) and Vector Error Correction Model (VECM). Based on three indices: S&P 500, Nikkei 225 (NIKKEI), and Morgan Stanley EAFE (MSCIEAFE or MSCI EAFE) Index, we implement VAR and VECM models, including the pre-estimation diagnostics, model estimation and interpretation and post-estimation tests, etc. By testing, we find that while...
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