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A closed form multivariate linear filter

Boadway, Robin W.; Vitek, Francis - 2018

This paper considers the problem of jointly decomposing a set of time series variables into cyclical and trend components, subject to sets of stochastic linear restrictions among these cyclical and trend components. We derive a closed form solution to an ordinary problem featuring homogeneous...

Persistent link: https://www.econbiz.de/10011978601

A multivariate innovations state space BeveridgeNelson decomposition

De Silva, Ashton; Hyndman, Rob J.; Snyder, Ralph D. - In: Economic modelling 26 (2009) 5, pp. 1067-1074

Persistent link: https://www.econbiz.de/10003871265

Locating change-points in Hodrick-Prescott trends with an application to US real GDP : a generalized unobserved components model approach

Yoon, Gawon - In: Economic modelling 45 (2015), pp. 136-141

Persistent link: https://www.econbiz.de/10011334137

Decomposing time-frequency relationship between producer price and consumer price indices in Romania through wavelet analysis

Tiwari, Aviral Kumar; Mutascu, Mihai; Andries, Alin Marius - In: Economic modelling 31 (2013), pp. 151-159

Persistent link: https://www.econbiz.de/10009727754

Oil price and exchange rates : a wavelet based analysis for India

Tiwari, Aviral Kumar; Dar, Arif Billah; Bhanja, Niyati - In: Economic modelling 31 (2013), pp. 414-422

Persistent link: https://www.econbiz.de/10009729035

Time-spectral density and wavelets approaches : comparative study ; applications to SP500 returns and US GDP

Ahamada, Ibrahim; Jolivaldt, Philippe - In: Economic modelling 31 (2013), pp. 460-466

Persistent link: https://www.econbiz.de/10009730816

Modeling nonlinear Granger causality between the oil price and US dollar : a wavelet based approach

Benhmad, François - In: Economic modelling 29 (2012) 4, pp. 1505-1514

Persistent link: https://www.econbiz.de/10009667309

Response of the term structure of forward exchange rate to jump in the interest rate

Li, Xiao-ping; Feng, Yun; Wu, Chong-feng; Xu, Wei-dong - In: Economic modelling 30 (2013), pp. 863-874

Persistent link: https://www.econbiz.de/10009708784

Oil prices and the macroeconomy reconsideration for Germany : using continuous wavelet

Tiwari, Aviral Kumar - In: Economic modelling 30 (2013), pp. 636-642

Persistent link: https://www.econbiz.de/10009708824

Model reference adaptive expectations in Markov-switching economies

Carravetta, Francesco; Sorge, Marco M. - In: Economic modelling 32 (2013), pp. 551-559

Persistent link: https://www.econbiz.de/10009762031

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