Taming volatile high frequency data with long lag structure : an optimal filtering approach for forecasting
Year of publication: |
June 14, 2016 ; Preliminary version
|
---|---|
Authors: | Drechsel, Dirk ; Neuwirth, Stefan |
Publisher: |
Zurich, Switzerland : KOF |
Subject: | Forecasting | construction | Switzerland | Bayesian | mixed data frequencies | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Schweiz | Bayes-Statistik | Bayesian inference | Theorie | Theory |
Extent: | 1 Online-Ressource (circa 28 Seiten) Illustrationen |
---|---|
Series: | KOF working papers. - Zürich : [Verlag nicht ermittelbar], ZDB-ID 2107617-0. - Vol. no. 407 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Other identifiers: | 10.3929/ethz-a-010667032 [DOI] hdl:10419/148971 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Composite likelihood methods for large Bayesian VARs with stochastic volatility
Chan, Joshua, (2018)
-
Makatjane, Katleho, (2021)
-
Wu, Ping, (2024)
- More ...
-
Drechsel, Dirk, (2016)
-
Drechsel, Dirk, (2016)
-
Stabiles Wachstum in einem sich verbessernden konjunkturellen Umfeld
Abberger, Klaus, (2014)
- More ...