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The relationship between headline, core, and energy inflation : a wavelet investigation

Giri, Federico - In: Economics letters 210 (2022), pp. 1-4

Persistent link: https://www.econbiz.de/10013171055

The time-varying-parameter model for modeling changing conditional variance : the case of the Lucas hypothesis

Kim, Chang-jin - In: Journal of business & economic statistics : JBES ; a … 7 (1989) 4, pp. 433-440

Persistent link: https://www.econbiz.de/10001074853

The comovment between money and economic growth in 15 Asia-Pacific countries : wavelet coherency analysis in time-frequency domain

Tsai, Su-Ling; Chang, Tsangyao - In: Romanian journal of economic forecasting 21 (2018) 2, pp. 63-79

Persistent link: https://www.econbiz.de/10012020116

Spline smoothing over difficult regions : a state space approach

Koopman, Siem Jan; Wong, Soon Yip - 2008

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

Recurrence quantification analysis of denoised index returns via alpha-stable modeling of wavelet coefficients : detecting switching volatility regimes

Tzagkarakis, George; Dionysopoulos, Thomas; Achim, Alin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 1, pp. 75-96

Persistent link: https://www.econbiz.de/10011431136

Time-spectral density and wavelets approaches : comparative study ; applications to SP500 returns and US GDP

Ahamada, Ibrahim; Jolivaldt, Philippe - In: Economic modelling 31 (2013), pp. 460-466

Persistent link: https://www.econbiz.de/10009730816

Regime switching stochastic volatility with skew, fat tails and leverage using returns and realized volatility contemporaneously

Trojan, Sebastian - 2013

Persistent link: https://www.econbiz.de/10010243571

Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models

Ng, Jason; Forbes, Catherine Scipione; Martin, Gael M.; … - In: International journal of forecasting 29 (2013) 3, pp. 411-430

Persistent link: https://www.econbiz.de/10009787038

Marginalized predictive likelihood comparisons of linear Gaussian state-space models with applications to DSGE, DSGEVAR, and VAR models

Warne, Anders; Coenen, Günter; Christoffel, Kai - 2014

The predictive likelihood is of particular relevance in a Bayesian setting when the purpose is to rank models in a forecast comparison exercise. This paper discusses how the predictive likelihood can be estimated for any subset of the observable variables in linear Gaussian state-space models...

Persistent link: https://www.econbiz.de/10010412361

Achieving shrinkage in a time-varying parameter model framework

Bitto, Angela; Frühwirth-Schnatter, Sylvia - In: Journal of econometrics 210 (2019) 1, pp. 75-97

Persistent link: https://www.econbiz.de/10012303379