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~isPartOf:"Journal of applied econometrics"
~isPartOf:"Journal of empirical finance"
~person:"Grassi, Stefano"
~person:"Lucas, André"
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State space model
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Zustandsraummodell
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Grassi, Stefano
Lucas, André
Koopman, Siem Jan
3
Chan, Joshua
2
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2
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2
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2
Santucci de Magistris, Paolo
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Journal of applied econometrics
Journal of empirical finance
Discussion paper / Tinbergen Institute
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Forecasting with the standardized self-perturbed Kalman filter
Grassi, Stefano
;
Nonejad, Nima
;
Santucci de Magistris, Paolo
- In:
Journal of applied econometrics
32
(
2017
)
2
,
pp. 318-341
Persistent link: https://www.econbiz.de/10011689787
Saved in:
2
Joint Bayesian analysis of oarameters and states in nonlinear non‐Gaussian state space models
Barra, István
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
; …
- In:
Journal of applied econometrics
32
(
2017
)
5
,
pp. 1003-1026
Persistent link: https://www.econbiz.de/10011862307
Saved in:
3
It's all about volatility of volatility : evidence from a two-factor stochastic volatility model
Grassi, Stefano
;
Santucci de Magistris, Paolo
- In:
Journal of empirical finance
30
(
2015
),
pp. 62-78
Persistent link: https://www.econbiz.de/10011489216
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