Financial big data solutions for state space panel regression in interest rate dynamics
Year of publication: |
September 2018
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Authors: | Toczydlowska, Dorota ; Peters, Gareth |
Published in: |
Econometrics : open access journal. - Basel : MDPI, ISSN 2225-1146, ZDB-ID 2717594-7. - Vol. 6.2018, 3, p. 1-45
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Subject: | feature extraction | yield curve modelling | panel regression | heavy tail distribution | multivariate state-space models | robust dimensionality reduction | Expectations-Maximisation algorithm | macroeconomic and financial datasets | Theorie | Theory | Zinsstruktur | Yield curve | Panel | Panel study | Regressionsanalyse | Regression analysis | Zins | Interest rate | Zustandsraummodell | State space model | Schätzung | Estimation | Big Data | Big data | Zeitreihenanalyse | Time series analysis |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/econometrics6030034 [DOI] hdl:10419/195463 [Handle] |
Classification: | C32 - Time-Series Models ; c38 ; C51 - Model Construction and Estimation ; C53 - Forecasting and Other Model Applications ; c55 |
Source: | ECONIS - Online Catalogue of the ZBW |
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