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Robustness of a Noise Filtering Procedure for Correlation Matrices : B. Filtering of Deliberately Introduced Noise from 'True' Correlation Matrices
Izmailov, Alexander - 2014
noise filtering procedure was applied first to an empirical correlation matrix and, second, to the matrix built from the … same time series deliberately contaminated with noise. The final, noise filtered correlation matrices, were practically the … measures that gave average distance between off-diagonal elements of correlation matrices obtained as a result of noise …
Persistent link: https://www.econbiz.de/10013060875
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Robustness of a Noise Filtering Procedure for Correlation Matrices : A. Filtering of Deliberately Introduced Noise from Empirical Correlation Matrices
Izmailov, Alexander - 2014
noise filtering procedure was applied first to an empirical correlation matrix and, second, to the same matrix deliberately … contaminated with noise. The final, noise filtered correlation matrices, were practically the same in both cases (by simple visual … between off-diagonal elements of correlation matrices obtained as a result of noise filtering of empirical correlation matrix …
Persistent link: https://www.econbiz.de/10013060876
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Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models
Hartkopf, Jan Patrick - In: Empirical economics : a quarterly journal of the … 64 (2023) 1, pp. 393-436
Persistent link: https://www.econbiz.de/10014226292
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State-space models on the Stiefel manifold with a new approach to nonlinear filtering
Yang, Yukai; Bauwens, Luc - In: Econometrics : open access journal 6 (2018) 4, pp. 1-22
We develop novel multivariate state-space models wherein the latent states evolve on the Stiefel manifold and follow a conditional matrix Langevin distribution. The latent states correspond to time-varying reduced rank parameter matrices, like the loadings in dynamic factor models and the...
Persistent link: https://www.econbiz.de/10011945700
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Small area estimation with state-space common factor models for rotating panels
Brakel, Jan A. van den; Krieg, Sabine - 2014
Persistent link: https://www.econbiz.de/10010393950
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A new approach to estimating the natural rate of interest
Benati, Luca - 2021
Building upon the insight that M1 velocity is the permanent component of nominal interest rates - see Benati (2020) - I propose a novel, and straightforward approach to estimating the natural rate of interest, which is conceptually related to Cochrane's (1994) proposal to estimate the permanent...
Persistent link: https://www.econbiz.de/10012520193
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A new approach to estimating the natural rate of interest
Benati, Luca - 2022
Building upon the insight that M1 velocity is the permanent component of nominal interest rates - see Benati (2020) - I propose a novel, and straightforward approach to estimating the natural rate of interest, which is conceptually related to Cochrane's (1994a) proposal to estimate the permanent...
Persistent link: https://www.econbiz.de/10013362282
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Cointegration between trends and their estimators in state space models and CVAR models
Johansen, Søren; Nyboe Tabor, Morten - 2017
Persistent link: https://www.econbiz.de/10011624144
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Cointegration between trends and their estimators in state space models and CVAR models
Johansen, Søren; Nyboe Tabor, Morten - 2017
Persistent link: https://www.econbiz.de/10011625471
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The co-integrated vector autoregression with errors-in-variables
Bohn Nielsen, Heino - In: Econometric reviews 35 (2016) 1/4, pp. 169-200
Persistent link: https://www.econbiz.de/10011549904