Similar Search Results - EconBiz

Structural estimation of markov decision processes

Rust, John - In: Handbook of Econometrics

Persistent link: https://www.econbiz.de/10005204041

Merging short-and long-run forecasts : An application of seasonal cointegration to monthly electricity sales forecasting

Engle, R. F.; Granger, C. W. J.; Hallman, J. J. - In: Journal of Econometrics 40 (1989) 1, pp. 45-62

Persistent link: https://www.econbiz.de/10005052812

State-space models

Hamilton, James D. - In: Handbook of Econometrics

This chapter reviews the usefulness of the Kalman filter for parameter estimation and inference about unobserved variables in linear dynamic systems. Applications include exact maximum likelihood estimation of regressions with ARMA disturbances, time-varying parameters, missing observations,...

Persistent link: https://www.econbiz.de/10005052940

Hedging options in GARCH environment : testing the term structure of stochastic volatility models

Engle, Robert F.; Rosenberg, Joshua V. - 1994

Persistent link: https://www.econbiz.de/10000147446

Forecasting transaction rates : the autoregressive conditional duration model

Engle, Robert F.; Russell, Jeffrey R. - 1994

Persistent link: https://www.econbiz.de/10000147454

Handbook of econometrics ; Vol. 4

Engle, Robert F. (contributor); McFadden, Daniel (contributor) - 1994

Persistent link: https://www.econbiz.de/10000532863

Bollerslev, Tim; Engle, Robert F.; Nelson, Daniel B. - 1993

Persistent link: https://www.econbiz.de/10000899195

Hedging options in a GARCH environment : testing the term structure of stochastic volatility models

Engle, Robert F.; Rosenberg, Joshua V. - 1994

Persistent link: https://www.econbiz.de/10000904203

Forecasting transaction rates : the autoregressive conditional duration model

Engle, Robert F.; Russell, Jeffrey R. - 1994

Persistent link: https://www.econbiz.de/10000904213

Engle, Robert F. - 1995

Persistent link: https://www.econbiz.de/10000911609

A service of the