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Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models

Gagliardini, Patrick; Ghysels, Eric; Rubin, M. - In: Journal of financial econometrics : official journal of … 15 (2017) 4, pp. 509-560

Persistent link: https://www.econbiz.de/10011987633

Natural interest rate for the Romanian economy

Acatrinei, Marius; Armenau, Dan; Dobrota, Carmen Elena - In: Romanian journal of economic forecasting 21 (2018) 3, pp. 104-116

Persistent link: https://www.econbiz.de/10012021822

Style analysis with particle filtering and generalized simulated annealing

Fukui, Takaya; Sato, Seisho; Takahashi, Akihiko - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-29

Persistent link: https://www.econbiz.de/10011778283

Autocorrelation in an unobservable global trend : does it help to forecast market returns?

Peresetsky, Anatoly A.; Yakubov, Ruslan I. - In: International journal of computational economics and … 7 (2017) 1/2, pp. 152-169

Persistent link: https://www.econbiz.de/10011713553

Staying positive : challenges and solutions in using pure multiplicative ETS models

Svetunkov, Ivan; Boylan, John Edward - In: IMA journal of management mathematics 35 (2024) 3, pp. 403-425

Persistent link: https://www.econbiz.de/10014634207

Sequential Monte Carlo sampling for state space models

Wüthrich, Mario V. - In: Robustness in econometrics, (pp. 25-50). 2017

The aim of these notes is to revisit sequential Monte Carlo (SMC) sampling. SMC sampling is a powerful simulation tool for solving non-linear and/or non-Gaussian state space models. We illustrate this with several examples.

Persistent link: https://www.econbiz.de/10011800920

Applying state space models to stochastic claims reserving

Hendrych, Radek; Cipra, Tomáš - In: ASTIN bulletin : the journal of the International … 51 (2021) 1, pp. 267-301

Persistent link: https://www.econbiz.de/10012437283

Applying state space models to stochastic claims reserving

Hendrych, Radek; Cipra, Tomáš - In: ASTIN bulletin : the journal of the International … 51 (2021) 1, pp. 267-301

Persistent link: https://www.econbiz.de/10012437284

Hyper-trend method for seasonal adjustment and trend-cycle decomposition of time series containing long-period cycles

Kyo, Koki; Kitagawa, Genshiro - In: Asian Journal of Management Science and Applications 6 (2021) 2, pp. 134-162

Persistent link: https://www.econbiz.de/10012887417

Testing for the uncovered interest parity condition in a small open economy : a state space modelling approach

Bhatta, Guna Raj; Nepal, Rabindra; Harvie, Charles; … - In: Journal of Asian economics 82 (2022), pp. 1-25

Persistent link: https://www.econbiz.de/10013550024

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