Mitic, Peter - In: International Journal of Financial Studies 6 (2018) 1, pp. 1-18
Assuming that a time series incorporates 'signal' and 'noise' components, we propose a method to estimate the extent of the 'noise' component by considering the smoothing properties of the state-space of the time series. A mild degree of smoothing in the state-space, applied using a Kalman...