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Examining realized volatility regimes under a threshold stochastic volatility model
Xu, Dinghai - In: International journal of finance & economics : IJFE 17 (2012) 4, pp. 373-389
Persistent link: https://www.econbiz.de/10009689475
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Essays in time series econometrics
Azevedo, João Valle e - 2007
Persistent link: https://www.econbiz.de/10009696672
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The yield curve and the macro-economy across time and frequencies
Aguiar-Conraria, Luís; Martins, Manuel Mota Freitas; … - In: Journal of economic dynamics & control 36 (2012) 12, pp. 1950-1970
Persistent link: https://www.econbiz.de/10009701904
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Signal extraction for nonstationary multivariate time series with illustrations for trend inflation
McElroy, Tucker; Trimbur, Thomas M. - 2012
Persistent link: https://www.econbiz.de/10009658744
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Nonlinear Kalman filtering in affine term structure models
Christoffersen, Peter F.; Dorion, Christian; Jacobs, Kris; … - 2012
Persistent link: https://www.econbiz.de/10009667381
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Measurement of filters' efficiencies and application of NNSFDI method
Bildirici, Melike E.; Alp, Selçuk - In: Economic research 25 (2012) 4, pp. 937-957
Persistent link: https://www.econbiz.de/10009706525
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On the correspondence between data revision and trend-cycle decomposition
Dungey, Mardi H.; Jacobs, Jan; Tian, Jing; Van Norden, Simon - In: Applied economics letters 20 (2013) 4/6, pp. 316-319
Persistent link: https://www.econbiz.de/10009706792
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Response of the term structure of forward exchange rate to jump in the interest rate
Li, Xiao-ping; Feng, Yun; Wu, Chong-feng; Xu, Wei-dong - In: Economic modelling 30 (2013), pp. 863-874
Persistent link: https://www.econbiz.de/10009708784
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State space modeling in macroeconomics and finance using SsfPack in S+Finmetrics
Zivot, Eric; Wang, Jeffrey; Koopman, Siem Jan - In: State space and unobserved component models : theory …, (pp. 284-335). 2004
Persistent link: https://www.econbiz.de/10009719920
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Resampling in state space models
Stoffer, David S.; Wall, Kent D. - In: State space and unobserved component models : theory …, (pp. 171-202). 2004
Persistent link: https://www.econbiz.de/10009719925