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Optimal adaptive sequential calibration of option models

Lindström, Erik; Åkerlindh, Carl - In: Handbook of recent advances in commodity and financial …, (pp. 165-181). 2018

Persistent link: https://www.econbiz.de/10011898632

Exact present solution with consistent future approximation : a gridless algorithm to solve stochastic dynamic models

Den Haan, Wouter J.; Kobielarz, Michał; Rendahl, Pontus - 2015

Persistent link: https://www.econbiz.de/10012171713

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

Identification of house price bubbles using user cost in a state space model

Zhang, Hanxiong; Hudson, Robert; Metcalf, Hugh; … - In: Applied economics 47 (2015) 55/57, pp. 6088-6101

Persistent link: https://www.econbiz.de/10011381027

Factor structural time series models for official statistics with an application to hours worked in Germany

Weigand, Roland; Wanger, Susanne; Zapf, Ines - 2015

We introduce a high-dimensional structural time series model, where co-movement between the components is due to common factors. A two-step estimation strategy is presented, which is based on principal components in differences in a first step and state space methods in a second step. The...

Persistent link: https://www.econbiz.de/10011309972