Chapter 7 Forecasting with Unobserved Components Time Series Models
Year of publication: |
2006
|
---|---|
Authors: | Harvey, Andrew |
Published in: |
Handbook of economic forecasting ; 1. - Amsterdam : Elsevier North Holland, ISBN 978-0-444-51395-3. - 2006, p. 327-412
|
Subject: | cycles | continuous time | Kalman filter | non-Gaussian models | state space | stochastic trend | stochastic volatility | Zustandsraummodell | State space model | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process | Theorie | Theory | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | ARMA-Modell | ARMA model |
-
Time series models with a common stochastic variance for analysing economic time series
Koopman, Siem Jan, (2002)
-
Li, Mengheng, (2018)
-
Modeling and forecasting S&P 500 volatility : long memory, structural breaks and nonlinearity
Martens, Martin, (2004)
- More ...
-
Trends, cycles and autoregressions
Harvey, Andrew C., (1997)
-
Intervention analysis with control groups
Harvey, Andrew C., (1996)
-
Testing in unobserved components models
Harvey, Andrew C., (2001)
- More ...