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Efficient matrix approach for classical inference in state space models

Delle Monache, Davide; Petrella, Ivan - In: Economics letters 181 (2019), pp. 22-27

Persistent link: https://www.econbiz.de/10012121833

On parameter estimation of Heston's stochastic volatilitymodel : a polynomial filtering method

Cacace, Filippo; Germani, Alfredo; Papi, Marco - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 503-525

Persistent link: https://www.econbiz.de/10012127257

Bayesian demographic modeling and forecasting: an application to U.S. mortality

Reichmuth, Wolfgang H.; Sarferaz, Samad - 2008

Carlo algorithm to estimate the parameters and the latent variables in an efficient one-step procedure. Via the Bayesian …

Persistent link: https://www.econbiz.de/10010276366

Idiosyncratic Labour Income Risk and Aggregate Consumption: an Unobserved Component Approach

Pozzi, Lorenzo - 2007

We investigate the importance of aggregate and consumer-specific or idiosyncratic labour income risk for aggregate consumption changes in the US over the period 1952-2001. Theoretically, the effect of labour income risk on consumption changes is decomposed into an aggregate and into an...

Persistent link: https://www.econbiz.de/10010325226

Forecasting the price of gold using dynamic model averaging

Aye, Goodness C.; Gupta, Rangan; Hammoudeh, Shawkat; … - In: International review of financial analysis 41 (2015), pp. 257-266

Persistent link: https://www.econbiz.de/10011508954

Idiosyncratic labour income risk and aggregate consumption : an unobserved component approach

Pozzi, Lorenzo - 2007

We investigate the importance of aggregate and consumer-specific or idiosyncratic labour income risk for aggregate consumption changes in the US over the period 1952-2001. Theoretically, the effect of labour income risk on consumption changes is decomposed into an aggregate and into an...

Persistent link: https://www.econbiz.de/10011372981

The Beveridge-Nelson decomposition of mixed-frequency series : an application to simultaneous measurement of classical and deviation cycles

Murasawa, Yasutomo - In: Empirical economics : a journal of the Institute for … 51 (2016) 4, pp. 1415-1441

Persistent link: https://www.econbiz.de/10011643752

Forecasting China's foreign exchange reserves using dynamic model averaging : the roles of macroeconomic fundamentals, financial stress and economic uncertainty

Gupta, Rangan; Hammoudeh, Shawkat; Kim, Won Joong; … - In: The North American journal of economics and finance : a … 28 (2014), pp. 170-189

Persistent link: https://www.econbiz.de/10010461966

Detecting scapegoat effects in the relationship between exchange rates and macroeconomic fundamentals : a new approach

Pozzi, Lorenzo; Sadaba, Barbara - In: Macroeconomic dynamics 24 (2020) 4, pp. 951-994

Persistent link: https://www.econbiz.de/10012241042

Inflation and professional forecast dynamics : an evaluation of stickiness, persistence, and volatility

Mertens, Elmar; Nason, James Michael - 2017 - Revised version

Persistent link: https://www.econbiz.de/10011746888

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