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~isPartOf:"Econometric reviews"
~isPartOf:"Working paper / Department of Econometrics and Business Statistics, Monash University"
~subject:"Forecasting model"
~subject:"Volatility"
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Search: subject_exact:"State space model"
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Forecasting model
Volatility
State space model
56
Zustandsraummodell
56
Theorie
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Theory
36
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34
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34
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Martin, Gael M.
12
Forbes, Catherine Scipione
8
Snyder, Ralph D.
7
Maneesoonthorn, Worapree
6
Hyndman, Rob J.
5
Koehler, Anne B.
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Ord, John Keith
4
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3
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3
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3
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2
Jawadi, Fredj
2
Loiza-Maya, Ruben
2
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1
Audrino, Francesco
1
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1
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1
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Ooms, Marius
1
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1
Ouwehand, Pim
1
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1
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Econometric reviews
Working paper / Department of Econometrics and Business Statistics, Monash University
International journal of forecasting
47
Discussion paper / Tinbergen Institute
39
Journal of forecasting
34
Energy economics
25
Economic modelling
24
The North American journal of economics and finance : a journal of financial economics studies
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International review of financial analysis
10
Journal of empirical finance
10
European journal of operational research : EJOR
8
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
7
CESifo working papers
6
Finmap working paper
6
International review of economics & finance : IREF
6
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
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Econometrics : open access journal
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Emerging markets, finance and trade : EMFT
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
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International Journal of Energy Economics and Policy : IJEEP
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Research paper series / Swiss Finance Institute
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The econometrics journal
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International journal of finance & economics : IJFE
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ABC-based forecasting in state space models
Weerasinghe, Chaya
;
Loiza-Maya, Ruben
;
Martin, Gael M.
; …
-
2023
Persistent link: https://www.econbiz.de/10014452518
Saved in:
2
Variational Bayes in state space models : inferential and predictive accuracy
Frazier, David T.
;
Loiza-Maya, Ruben
;
Martin, Gael M.
-
2022
Persistent link: https://www.econbiz.de/10013193949
Saved in:
3
Forecasting observables with particle filters : any filter will do!
Leung, Patrick
;
Forbes, Catherine Scipione
;
Martin, Gael M.
-
2019
Persistent link: https://www.econbiz.de/10012606152
Saved in:
4
Predictability, real time estimation, and the formulation of unobserved components models
Proietti, Tommaso
- In:
Econometric reviews
40
(
2021
)
5
,
pp. 433-454
Persistent link: https://www.econbiz.de/10012515613
Saved in:
5
A multifactor transformed diffusion model with applications to VIX and VIX futures
Bu, Ruijun
;
Jawadi, Fredj
;
Li, Yuyi
- In:
Econometric reviews
39
(
2020
)
1
,
pp. 27-53
Persistent link: https://www.econbiz.de/10012181537
Saved in:
6
Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models
Jawadi, Fredj
;
Ftiti, Zied
;
Louhichi, Waël
- In:
Econometric reviews
39
(
2020
)
1
,
pp. 54-70
Persistent link: https://www.econbiz.de/10012181540
Saved in:
7
Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2016
-
Revised 14, 30
Persistent link: https://www.econbiz.de/10011781663
Saved in:
8
Auxiliary likelihood-based approximate Bayesian computation in state space models
Martin, Gael M.
;
McCabe, Brendon P. M.
;
Frazier, David T.
; …
-
2016
Persistent link: https://www.econbiz.de/10011781699
Saved in:
9
A new approach to forecasting based on exponential smoothing with independent regressors
Osman, Ahmad Farid
;
King, Maxwell L.
-
2015
Persistent link: https://www.econbiz.de/10011781123
Saved in:
10
Forecasting compositional time series : a state space approach
Snyder, Ralph D.
;
Ord, John Keith
;
Koehler, Anne B.
; …
-
2015
Persistent link: https://www.econbiz.de/10011781245
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