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Integrated variance of irregularly spaced high-frequency data : a state space approach based on pre-averaging

Alexeev, Vitali; Chen, Jun; Ignatieva, Ekaterina - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 5, pp. 733-763

Persistent link: https://www.econbiz.de/10014506869

Numerically accelerated importance sampling for nonlinear non-Gaussian state-space models

Koopman, Siem Jan; Lucas, André; Scharth, Marcel - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 114-127

Persistent link: https://www.econbiz.de/10011389921

Particle efficient importance sampling

Scharth, Marcel; Kohn, Robert - In: Journal of econometrics 190 (2016) 1, pp. 133-147

Persistent link: https://www.econbiz.de/10011591626

Modeling exchange rate dynamics in Egypt : observed and unobserved volatility

Rofael, Dina; Hosni, Rana - In: Modern economy 6 (2015) 1, pp. 65-80

Persistent link: https://www.econbiz.de/10011285372

A new model of inflation, trend inflation, and long-run inflation expectations

Chan, Joshua; Clark, Todd E.; Koop, Gary - 2015

Persistent link: https://www.econbiz.de/10011386660

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

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Inflation trends in Asia : implications for central banks

Garcia, Juan Angel; Poon, Aubrey - 2019

Trend inflation estimates for 12 of the largest Asian economies over 1995-2018 offer important insights on inflation dynamics and inflation expectations. The disinflationary shocks that hit the region since 2014 were partly transitory, but their effects have been different depending on the...