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Bayesian near-boundary analysis in basic macroeconomic time series models
Pooter, Michiel de; Ravazzolo, Francesco; Segers, Rene; … - 2008
Persistent link: https://www.econbiz.de/10003754318
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Inflation and professional forecast dynamics : an evaluation of stickiness, persistence, and volatility
Mertens, Elmar; Nason, James Michael - 2018 - Current draft: February 16, 2018
Persistent link: https://www.econbiz.de/10011867086
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Inflation and professional forecast dynamics : an evaluation of stickiness, persistence, and volatility
Mertens, Elmar; Nason, James Michael - 2017 - Revised version
Persistent link: https://www.econbiz.de/10011746888
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On importance sampling for state space models
Jungbacker, Borus; Koopman, Siem Jan - 2005
We consider likelihood inference and state estimation by means of importance sampling for state space models with a … and smoother and the simulation smoother which do not rely on a linear Gaussian observation equation. Furthermore, results …
Persistent link: https://www.econbiz.de/10011348357
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Wavelet estimation performance of fractional integrated processes with heavy-tails
Boubaker, Heni - In: Computational economics 55 (2020) 2, pp. 473-498
Persistent link: https://www.econbiz.de/10012223642
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Unobserved components with stochastic volatility in U.S. inflation : estimation and signal extraction
Li, Mengheng; Koopman, Siem Jan - 2018
the observed time series. We develop a simulated maximum likelihood estimation method based on importance sampling and …
Persistent link: https://www.econbiz.de/10011809984
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Threshold models in time series analysis : some reflections
Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
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Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
Wehrli, Alexander; Wheatley, Spencer; Sornette, Didier - In: Quantitative finance 21 (2021) 5, pp. 729-752
Persistent link: https://www.econbiz.de/10012500185
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A (semi)parametric functional coefficient logarithmic autoregressive conditional duration model
Fernandes, Marcelo; Medeiros, Marcelo C.; Veiga, Alvaro - In: Econometric reviews 35 (2016) 5/7, pp. 1221-1250
Persistent link: https://www.econbiz.de/10011591186
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Moving Average Threshold Heterogeneous Autoregressive (MAT-HAR) Models
Motegi, Kaiji - 2020
time-varying thresholds and simple estimation via least squares. We show via Monte Carlo simulations that the MAT-HAR has …
Persistent link: https://www.econbiz.de/10012848474