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An hourly periodic state space model for modelling French national electricity load
Dordonnat, V.; Koopman, Siem Jan; Ooms, Marius; … - 2008
We present a model for hourly electricity load forecasting based on stochastically time-varying processes that are designed to account for changes in customer behaviour and in utility production efficiencies. The model is periodic: it consists of different equations and different parameters for...
Persistent link: https://www.econbiz.de/10011373810
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Measuring persistence in volatility spillovers
Conrad, Christian; Weber, Enzo - 2013
This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the conditional variances determine the persistence of the transmitted volatility innovations. In particular, the effect of a foreign volatility innovation on a conditional...
Persistent link: https://www.econbiz.de/10009771200
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Measuring persistence in volatility spillovers : conference paper
Conrad, Christian; Weber, Enzo - Wettbewerbspolitik und Regulierung in einer Globalen … - 2013
This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the conditional variances determine the persistence of the transmitted volatility innovations. In particular, the influence of a foreign volatility innovation on a conditional...
Persistent link: https://www.econbiz.de/10010341118
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Measuring Persistence in Volatility Spillovers
Conrad, Christian - 2013
This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the conditional variances determine the persistence of the transmitted volatility innovations. In particular, the effect of a foreign volatility innovation on a conditional...
Persistent link: https://www.econbiz.de/10013083308
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An empirical assessment of the U.S. Phillips curve over time
Vlekke, Marente; Koopman, Siem Jan; Mellens, Martin C. - 2021
We assess the stability of the unemployment gap parameter using linear dynamic Phillips curve models for the United States. In this study, we allow the unemployment gap parameter to be time-varying such that we can monitor the importance of the Phillips curve over time. We consider different...
Persistent link: https://www.econbiz.de/10012665848
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An Empirical Assessment of the U.S. Phillips Curve over Time
Vlekke, Marente; Koopman, Siem Jan - 2021
We assess the stability of the unemployment gap parameter using linear dynamic Phillips curve models for the United States. In this study, we allow the unemployment gap parameter to be time-varying such that we can monitor the importance of the Phillips curve over time. We considerdifferent...
Persistent link: https://www.econbiz.de/10013313573
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An Hourly Periodic State Space Model for Modelling French National Electricity Load
Dordonnat, V.; Koopman, Siem Jan; Ooms, Marius; … - 2008
We present a model for hourly electricity load forecasting based on stochastically time-varying processes that are designed to account for changes in customer behaviour and in utility production efficiencies. The model is periodic: it consists of different equations and different parameters for...
Persistent link: https://www.econbiz.de/10014220784
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Modeling trigonometric seasonal components for monthly economic time series
Hindrayanto, Irma; Aston, John A.D.; Koopman, Siem Jan; … - 2010
The basic structural time series model has been designed for the modelling and forecasting of seasonal economic time series. In this paper we explore a generalisation of the basic structural time series model in which the time-varying trigonometric terms associated with different seasonal...
Persistent link: https://www.econbiz.de/10011379642
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Modeling Trigonometric Seasonal Components for Monthly Economic Time Series
Hindrayanto, Irma; Aston, John A.D; Koopman, Siem Jan; … - 2010
The basic structural time series model has been designed for the modelling and forecasting of seasonal economic time series. In this paper we explore a generalisation of the basic structural time series model in which the time-varying trigonometric terms associated with different seasonal...
Persistent link: https://www.econbiz.de/10014198312
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Model-based Measurement of Latent Risk in Time Series with Applications
Bijleveld, Frits; Commandeur, Jacques; Gould, Phillip; … - 2005
we introduce a general multivariate framework for the time series analysis of risk that is modelled as a latent process … present a general model for the analysis of risk and discuss its statistical treatment based on linear state space methods … the general methodology can be effectively used in the assessment of risk. …
Persistent link: https://www.econbiz.de/10010325481