Narrow search
Showing 1 - 10 of 448
Cover Image
Tempered particle filtering
Herbst, Edward P.; Schorfheide, Frank - 2016
The accuracy of particle filters for nonlinear state-space models crucially depends on the proposal distribution that mutates time t-1 particle values into time t values. In the widely-used bootstrap particle filter this distribution is generated by the state-transition equation. While...
Persistent link: https://www.econbiz.de/10011578495
Cover Image
Bootstrap inference and diagnostics in state space models : with applications to dynamic macro models
Angelini, Giovanni; Cavaliere, Giuseppe; Fanelli, Luca - In: Journal of applied econometrics 37 (2022) 1, pp. 3-22
Persistent link: https://www.econbiz.de/10013165161
Cover Image
Estimation of regulatory credit risk models
Pérez Montes, Carlos - In: Journal of financial services research : JFSR 48 (2015) 2, pp. 161-191
Persistent link: https://www.econbiz.de/10011478377
Cover Image
Do co-jumps impact correlations in currency markets?
Barunik, Jozef; Vacha, Lukas - In: Journal of financial markets 37 (2018), pp. 97-119
Persistent link: https://www.econbiz.de/10012001025
Cover Image
Dividend growth predictability and the price-dividend ratio
Piatti, Ilaria; Trojani, Fabio - In: Management science : journal of the Institute for … 66 (2020) 1, pp. 130-158
Persistent link: https://www.econbiz.de/10012156570
Cover Image
A factor pricing model based on machine learning algorithm
Fang, Yi; Chen, Yuzhi; Ren, Hang - In: International review of economics & finance : IREF 88 (2023), pp. 280-297
Persistent link: https://www.econbiz.de/10014474520
Cover Image
FDI inflows-economic globalization Nexus in ASEAN countries : the panel bootstrap causality test based on wavelet decomposition
Gorus, Muhammed Sehid; Yilanci, Veli; Kongkuah, Maxwell - In: Asia Pacific financial markets 30 (2023) 2, pp. 339-362
Persistent link: https://www.econbiz.de/10014342357
Cover Image
Regression analysis of marketing time series : a wavelet approach with some frequency domain insights
Michis, Antonis A. - In: Review of marketing science 7 (2009) 2, pp. 1-41
Persistent link: https://www.econbiz.de/10003888814
Cover Image
A two-step estimator for large approximate dynamic factor models based on Kalman filtering
Doz, Catherine; Giannone, Domenico; Reichlin, Lucrezia - 2007
Persistent link: https://www.econbiz.de/10003413769
Cover Image
Signal diffusion mapping : optimal forecasting with time-varying lags
Gaskell, Paul; McGroarty, Frank; Tiropanis, Thanassis - In: Journal of forecasting 35 (2016) 1, pp. 70-85
Persistent link: https://www.econbiz.de/10011417716