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~institution:"Society for Computational Economics - SCE"
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multivariate filters
2
output gap
2
Bayes Factor
1
Bayesian Analysis
1
MCMC
1
Natural Interest Rate
1
Particle Filters
1
bootstrap
1
business cycles
1
jumps processes
1
mechanical filters
1
particle filters
1
potential output
1
production function
1
real time
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spectral analysis
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stochastic volatility
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unobserved components models
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3
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Bordignon, Silvano
1
CHAGNY, Odile
1
Karagedikli, Ozer
1
LEMOINE, Matthieu
1
Lombardi, Marco J.
1
Plantier, L Christopher
1
Raggi, Davide
1
Schleicher, Christoph
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Sgherri, Silvia
1
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Society for Computational Economics - SCE
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
10
C.E.P.R. Discussion Papers
5
European Central Bank
4
HAL
4
EconWPA
3
Université Paris-Dauphine (Paris IX)
3
Barcelona Graduate School of Economics (Barcelona GSE)
2
Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
2
Centre de recherche en Économie (OFCE), Sciences économiques
2
Department of Economics and Business, Universitat Pompeu Fabra
2
Dipartimento di Economia, Università Ca' Foscari Venezia
2
International Monetary Fund (IMF)
2
Oesterreichische Nationalbank
2
School of Economics, Singapore Management University
2
Abteilung "Marktprozesse und Steuerung", Wissenschaftszentrum Berlin für Sozialforschung (WZB)
1
Agency for Economic Analysis and Forecasting, Ministry of Finance
1
Banco Central de Reserva del Perú
1
Banque de France
1
Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ)
1
Centre de Recherche sur l'Emploi et les Fluctuations Économiques (CREFÉ), École des Sciences de la Gestion (ESG)
1
Departamento de Economía, Pontificia Universidad Católica del Perú
1
Department of Economic and Social Affairs, United Nations
1
Department of Economics, Leicester University
1
Department of Economics, Oxford University
1
Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", Università degli Studi di Firenze
1
Département de Sciences Économiques, Université de Montréal
1
Facultat d'Economia i Empresa, Universitat de Barcelona
1
Federal Reserve Board (Board of Governors of the Federal Reserve System)
1
Finance Discipline Group, Business School
1
Grupo de Estudos Monetários e Financeiros (GEMF), Faculdade de Economia
1
HEC Paris (École des Hautes Études Commerciales)
1
Istituto Nazionale di Statistica (ISTAT)
1
Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
1
Türkiye Cumhuriyet Merkez Bankası
1
UNIVERSIDAD DEL ROSARIO
1
World Scientific Publishing Co. Pte. Ltd.
1
de Nederlandsche Bank
1
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Computing in Economics and Finance 2005
2
Computing in Economics and Finance 2003
1
Computing in Economics and Finance 2004
1
Computing in Economics and Finance 2006
1
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RePEc
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Do so-called multivariate
filters
have better revision properties? An empirical analysis
Plantier, L Christopher
;
Karagedikli, Ozer
-
Society for Computational Economics - SCE
-
2005
. We find that the multivariate
filters
are no better than the Hodrick-Prescott filter for real-time NZ data. The addition …
Persistent link: https://www.econbiz.de/10005343010
Saved in:
2
Estimating the potential output of the euro area with a semi-structural multivariate Hodrick-Prescott filter
LEMOINE, Matthieu
;
CHAGNY, Odile
-
Society for Computational Economics - SCE
-
2005
Multivariate Hodrick-Prescott
filters
(HPMV). The advantage of the multivariate production function approach will also be assessed …
Persistent link: https://www.econbiz.de/10005132700
Saved in:
3
(Un)naturally low?
Sgherri, Silvia
;
Lombardi, Marco J.
-
Society for Computational Economics - SCE
-
2006
filters
, particle
filters
do not require linearity and Gaussianity assumptions. We show that by lessening the influence of …
Persistent link: https://www.econbiz.de/10005342889
Saved in:
4
Fitting and comparing stochastic volatility models through Monte Carlo simulations
Bordignon, Silvano
;
Raggi, Davide
-
Society for Computational Economics - SCE
-
2004
Stochastic-variance models are important in describing and forecasting time-varying volatilities of financial time series. The introduction of jump components, in both the returns and the volatility process, improves the fit to the data. The goal of this paper is to examine the effectiveness of...
Persistent link: https://www.econbiz.de/10005345362
Saved in:
5
Kolmogorov-Wiener
Filters
for Finite Time Series
Schleicher, Christoph
-
Society for Computational Economics - SCE
-
2003
Persistent link: https://www.econbiz.de/10005345732
Saved in:
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