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Filtering and forecasting commodity futures prices under an HMM framework
Date, Paresh; Mamon, Rogemar; Tenyakov, Anton - In: Energy economics 40 (2013), pp. 1001-1013
Persistent link: https://www.econbiz.de/10010355984
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Crude oil price forecasting : experimental evidence from wavelet decomposition and neural network modeling
Jammazi, Rania; Aloui, Chaker - In: Energy economics 34 (2012) 3, pp. 828-841
Persistent link: https://www.econbiz.de/10010219886
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An enquiry into the dynamics of real oil prices : a state space approach
Hazrana, Jaweriah; Nazrana, Aaisha - In: Theoretical and applied economics : GAER review 24 (2017) 2, pp. 197-212
Persistent link: https://www.econbiz.de/10011795029
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Forecasting of crude oil prices using wavelet decomposition based denoising with ARMA model
Mittal, Prabhat - In: Asia Pacific financial markets 31 (2024) 2, pp. 355-365
Persistent link: https://www.econbiz.de/10014548379
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What do market-calibrated stochastic processes indicate about the long-term price of crude oil?
Hahn, Warren J.; DiLellio, James A.; Dyer, James S. - In: Energy economics 44 (2014), pp. 212-221
Persistent link: https://www.econbiz.de/10010457221
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Crude oil price analysis and forecasting : a perspective of "new triangle"
Lu, Quanying; Li, Yuze; Chai, Jian; Wang, Shouyang - In: Energy economics 87 (2020), pp. 1-14
Persistent link: https://www.econbiz.de/10012512285
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Factor structural time series models for official statistics with an application to hours worked in Germany
Weigand, Roland; Wanger, Susanne; Zapf, Ines - 2015
We introduce a high-dimensional structural time series model, where co-movement between the components is due to common factors. A two-step estimation strategy is presented, which is based on principal components in differences in a first step and state space methods in a second step. The...
Persistent link: https://www.econbiz.de/10011309972
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Forecasting us commercial property price indexes using dynamic factor models
Minne, Alex van de; Francke, Marc; Geltner, David - In: Journal of real estate research : JRER ; a publication … 44 (2022) 1, pp. 29-55
Persistent link: https://www.econbiz.de/10013167610
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Macroeconomic nowcasting using Google probabilities
Koop, Gary; Onorante, Luca - 2019
Persistent link: https://www.econbiz.de/10012244142
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Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models
Gagliardini, Patrick; Ghysels, Eric; Rubin, M. - In: Journal of financial econometrics : official journal of … 15 (2017) 4, pp. 509-560
Persistent link: https://www.econbiz.de/10011987633