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~isPartOf:"Econometric reviews"
~subject:"Forecasting model"
~subject:"Volatility"
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Search: subject_exact:"State space model"
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A state-space approach to time-varying reduced-rank regression
Brune, Barbara
;
Scherrer, Wolfgang
;
Bura, Efstathia
- In:
Econometric reviews
41
(
2022
)
8
,
pp. 895-917
Persistent link: https://www.econbiz.de/10013364916
Saved in:
2
Time-varying cointegration and the Kalman filter
Eroğlu, Burak Alparslan
;
Miller, J. Isaac
;
Yigit, Taner M.
- In:
Econometric reviews
41
(
2022
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10013167573
Saved in:
3
Approximate state space modelling of unobserved fractional components
Hartl, Tobias
;
Jucknewitz, Roland
- In:
Econometric reviews
41
(
2022
)
1
,
pp. 75-98
Persistent link: https://www.econbiz.de/10013167584
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
The co-integrated vector autoregression with errors-in-variables
Bohn Nielsen, Heino
- In:
Econometric reviews
35
(
2016
)
1/4
,
pp. 169-200
Persistent link: https://www.econbiz.de/10011549904
Saved in:
8
Wavelet energy ratio unit root tests
Trokić, Mirza
- In:
Econometric reviews
38
(
2019
)
1
,
pp. 69-94
Persistent link: https://www.econbiz.de/10012180698
Saved in:
9
Likelihood inference for dynamic linear models with Markov switching parameters : on the efficiency of the Kim filter
Kim, Young Min
;
Kang, Kyu Ho
- In:
Econometric reviews
38
(
2019
)
10
,
pp. 1109-1130
Persistent link: https://www.econbiz.de/10012181397
Saved in:
10
Specification tests for time-varying parameter models with stochastic volatility
Chan, Joshua
- In:
Econometric reviews
37
(
2018
)
6/10
,
pp. 807-823
Persistent link: https://www.econbiz.de/10012040412
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