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~isPartOf:"Applied economics"
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Search: subject_exact:"State space model"
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Kalman filter
State space model
53
Zustandsraummodell
52
Time series analysis
32
Zeitreihenanalyse
32
Theorie
22
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22
Estimation
18
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18
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Koopman, Siem Jan
2
Alfano, Simon
1
Bitto, Angela
1
Blasques, Francisco
1
Das, Abhiman
1
Feuerriegel, Stefan
1
Fiorentini, Gabriele
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Frühwirth-Schnatter, Sylvia
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Li, Mengheng
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Neumann, Dirk
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1
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1
Renne, Jean-Paul
1
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1
Sentana, Enrique
1
Shephard, Neil G.
1
Thomson, Daniel
1
Van Vuuren, Gary
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Applied economics
Journal of econometrics
International journal of forecasting
8
Computational economics
7
Economic modelling
7
Econometric reviews
5
Economics letters
5
The North American journal of economics and finance : a journal of financial economics studies
5
Journal of banking & finance
4
Journal of forecasting
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Economic systems
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
3
Journal of financial econometrics
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Macroeconomics and finance in emerging market economies
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Asia-Pacific financial markets
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
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European economic review : EER
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European journal of operational research : EJOR
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International journal of bonds and derivatives
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International journal of financial engineering
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Research in international business and finance
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1
Language sentiment in fundamental and noise trading : evidence from crude oil
Alfano, Simon
;
Feuerriegel, Stefan
;
Neumann, Dirk
- In:
Applied economics
52
(
2020
)
49
,
pp. 5343-5363
Persistent link: https://www.econbiz.de/10012307686
Saved in:
2
Long-term forecasting of El Niño events via dynamic factor simulations
Li, Mengheng
;
Koopman, Siem Jan
;
Lit, Rutger
;
Petrova, …
- In:
Journal of econometrics
214
(
2020
)
1
,
pp. 46-66
Persistent link: https://www.econbiz.de/10012438104
Saved in:
3
Achieving shrinkage in a time-varying parameter model framework
Bitto, Angela
;
Frühwirth-Schnatter, Sylvia
- In:
Journal of econometrics
210
(
2019
)
1
,
pp. 75-97
Persistent link: https://www.econbiz.de/10012303379
Saved in:
4
A spectral EM algorithm for dynamic factor models
Fiorentini, Gabriele
;
Galesi, Alessandro
;
Sentana, Enrique
- In:
Journal of econometrics
205
(
2018
)
1
,
pp. 249-279
Persistent link: https://www.econbiz.de/10012110263
Saved in:
5
Attribution of hedge fund returns using a Kalman filter
Thomson, Daniel
;
Van Vuuren, Gary
- In:
Applied economics
50
(
2018
)
9
,
pp. 1043-1058
Persistent link: https://www.econbiz.de/10011848239
Saved in:
6
Nowcasting sales growth of manufacturing companies in India
Sanyal, Anirban
;
Das, Abhiman
- In:
Applied economics
50
(
2018
)
5
,
pp. 510-526
Persistent link: https://www.econbiz.de/10011847016
Saved in:
7
Econometric analysis of multivariate realised QML : estimation of the covariation of equity prices under asynchronous trading
Shephard, Neil G.
;
Xiu, Dacheng
- In:
Journal of econometrics
201
(
2017
)
1
,
pp. 19-42
Persistent link: https://www.econbiz.de/10011917413
Saved in:
8
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
Blasques, Francisco
;
Koopman, Siem Jan
;
Mallee, Max I. P.
; …
- In:
Journal of econometrics
193
(
2016
)
2
,
pp. 405-417
Persistent link: https://www.econbiz.de/10011704989
Saved in:
9
A computationally efficient method for vector autoregression with mixed frequency data
Qian, Hang
- In:
Journal of econometrics
193
(
2016
)
2
,
pp. 433-437
Persistent link: https://www.econbiz.de/10011704991
Saved in:
10
A Quadratic Kalman Filter
Monfort, Alain
;
Renne, Jean-Paul
;
Roussellet, Guillaume
- In:
Journal of econometrics
187
(
2015
)
1
,
pp. 43-56
Persistent link: https://www.econbiz.de/10011498735
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