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On the selection of common factors for macroeconomic forecasting
Giovannelli, Alessandro; Proietti, Tommaso - In: Dynamic factor models, (pp. 595-630). 2016
Persistent link: https://www.econbiz.de/10011448731
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Measuring and modeling risk using high-frequency data
Härdle, Wolfgang; Hautsch, Nikolaus; Pigorsch, U. - In: Applied quantitative finance, (pp. 279-294). 2017
Persistent link: https://www.econbiz.de/10011794967
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Modelling financial high frequency data using point processes
Bauwens, Luc; Hautsch, Nikolaus - In: Handbook of financial time series, (pp. 953-979). 2009
Persistent link: https://www.econbiz.de/10003834275
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Maximum likelihood estimation of time series models : the Kalman filter and beyond
Proietti, Tommaso; Luati, Alessandra - In: Handbook of research methods and applications in …, (pp. 334-362). 2013
Persistent link: https://www.econbiz.de/10010206765
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Measuring and modeling risk using high-frequency data
Härdle, Wolfgang; Hautsch, Nikolaus; Pigorsch, Uta - In: Applied quantitative finance, (pp. 275-293). 2009
Persistent link: https://www.econbiz.de/10003746412
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Least squares regression : graduation and filters
Proietti, Tommaso; Luati, Alessandra - In: Measurement in economics : a handbook, (pp. 377-411). 2007
Persistent link: https://www.econbiz.de/10003643513
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State space decomposition under the hypothesis of non zero correlation between trend and cycle, with an application to the euro-zone
Proietti, Tommaso - In: Monographs of official statistics : papers and …, (pp. 292 - 325). 2004
Persistent link: https://www.econbiz.de/10003398185
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Measuring core inflation by multivariate structural time series models
Proietti, Tommaso - In: Optimisation, econometric and financial analysis, (pp. 205-223). 2007
Persistent link: https://www.econbiz.de/10003544760