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Credibility theory and filter theory in discrete and continuous time

Maier, Ramona; Merz, Michael - 2008

It is well known that credibility theory in discrete time is closely related to the discrete technique of Kalman … filtering. In this paper we show the close relationship between credibility theory and filter theory in discrete and continuous … time as well as between credibility theory in a discrete and continuous time setting. …

Persistent link: https://www.econbiz.de/10003839564

A microfounded herding model and its estimation on German survey expectations

Franke, Reiner - In: Intervention : european journal of economics and … 5 (2008) 2, pp. 301-328

Persistent link: https://www.econbiz.de/10003796592

An hourly periodic state space model for modelling French national electricity load

Dordonnat, V.; Koopman, Siem Jan; Ooms, Marius; … - In: International journal of forecasting 24 (2008) 4, pp. 566-587

Persistent link: https://www.econbiz.de/10003808308

Spline smoothing over difficult regions : a state space approach

Koopman, Siem Jan; Wong, Soon Yip - 2008

Persistent link: https://www.econbiz.de/10003811428

Forecasting with estimated dynamic stochastic general equilibrium models : the role of nonlinearities

Pichler, Paul (contributor) - 2007

Persistent link: https://www.econbiz.de/10003812519

Some notes on discount factor restrictions for dynamic optimization problems

Sorger, Gerhard (contributor) - 2008

Persistent link: https://www.econbiz.de/10003812527

Modelling stochastic volatility with leverage and jumps : a simulated maximum likelihood approach via particle filtering.

Malik, Sheheryar (contributor); Pitt, Michael K. (contributor) - 2009

In this paper we provide a unifed methodology in order to conduct likelihood-based inference on the unknown parameters of a general class of discrete-time stochastic volatility models, characterized by both a leverage effect and jumps in returns. Given the nonlinear/non-Gaussian state-space...

Persistent link: https://www.econbiz.de/10003866080

A state space approach to estimating the integrated variance and microstructure noise component

Nagakura, Daisuke; Watanabe, Toshiaki - 2009

Persistent link: https://www.econbiz.de/10003822408

Estimated US manufacturing production capital and technology based on an estimated dynamic structural economic model

Chen, Baoline; Zadrozny, Peter A. - In: Journal of economic dynamics & control 33 (2009) 7, pp. 1398-1418

Persistent link: https://www.econbiz.de/10003846767

Wavelet analysis of business cycles for validation of probability of default : what is the influence of the current credt crisis on model validation?

Burgt, Marco J. van der - In: The journal of risk model validation 3 (2009/10) 1, pp. 3-22

Persistent link: https://www.econbiz.de/10003848836