Forecasting with the standardized self-perturbed Kalman filter
Stefano Grassi, Nima Nonejad and Paolo Santucci De Magistris
| Year of publication: |
March 2017
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|---|---|
| Authors: | Grassi, Stefano ; Nonejad, Nima ; Santucci de Magistris, Paolo |
| Published in: |
Journal of applied econometrics. - Chichester : Wiley-Blackwell, ISSN 0883-7252, ZDB-ID 633941-4. - Vol. 32.2017, 2, p. 318-341
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| Subject: | TVP models | Self-Perturbed Kalman Filter | Dynamic Model Averaging | Dynamic Model Selection | Forecasting | Realized Variance | Prognoseverfahren | Forecasting model | Zustandsraummodell | State space model | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Dynamische Wirtschaftstheorie | Economic dynamics | Varianzanalyse | Analysis of variance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Research data: | |
| Other identifiers: | 10.1002/jae.2522 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011689787