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~person:"Chan, Joshua"
~person:"Théoret, Raymond"
~subject:"Forecasting model"
~subject:"Leverage"
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Search: subject:"Kalman filter"
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Forecasting model
Leverage
State space model
33
Zustandsraummodell
33
Estimation
21
Schätzung
21
Time series analysis
17
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17
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16
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Kalman filter
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Chan, Joshua
Théoret, Raymond
Koopman, Siem Jan
38
Grassi, Stefano
12
Gupta, Rangan
11
Koop, Gary
11
Snyder, Ralph D.
10
Koehler, Anne B.
9
Martin, Gael M.
9
Proietti, Tommaso
9
Chan, Joshua C. C.
8
Hyndman, Rob J.
8
Harvey, Andrew C.
7
Zadrozny, Peter A.
7
Bekiros, Stelios
6
Lucas, André
6
Nason, James Michael
6
Ooms, Marius
6
Ord, John Keith
6
Schwaab, Bernd
6
Wel, Michel van der
6
Dijk, Herman K. van
5
Forbes, Catherine Scipione
5
Maneesoonthorn, Worapree
5
Mazzi, Gian Luigi
5
Mittnik, Stefan
5
Nonejad, Nima
5
Paccagnini, Alessia
5
Poncela, Pilar
5
Ruiz, Esther
5
Santucci de Magistris, Paolo
5
Schorfheide, Frank
5
Smith, Gregor W.
5
Song, Dongho
5
Venditti, Fabrizio
5
Yaron, Amir
5
Audrino, Francesco
4
Bańbura, Marta
4
Blasques, Francisco
4
Boubaker, Heni
4
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4
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Départment des sciences administratives, Université du Québec en Outaouais (UQO)
1
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3
International advances in economic research : IAER ; an official publication of the International Atlantic Economic Society
1
International journal of forecasting
1
Journal of International Financial Markets, Institutions and Money
1
Journal of applied econometrics
1
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ECONIS (ZBW)
8
RePEc
2
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1
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10
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1
Stochastic volatility models with ARMA innovations : an application to G7 inflation forecasts
Zhang, Bo
;
Chan, Joshua
;
Cross, Jamie L.
-
2018
Persistent link: https://www.econbiz.de/10012202537
Saved in:
2
Stochastic volatility models with ARMA innovations : an application to G7 inflation forecasts
Zhang, Bo
;
Chan, Joshua
;
Cross, Jamie
- In:
International journal of forecasting
36
(
2020
)
4
,
pp. 1318-1328
Persistent link: https://www.econbiz.de/10012546706
Saved in:
3
Efficient estimation of Bayesian VARMAs with time-varying coefficients
Chan, Joshua
;
Eisenstat, Eric
-
2015
Persistent link: https://www.econbiz.de/10011342411
Saved in:
4
The stochastic volatility in mean model with time-varying parameters : an application to inflation modeling
Chan, Joshua
-
2015
Persistent link: https://www.econbiz.de/10011342445
Saved in:
5
Time-varying leverage and Basel III : a look at Canadian evidence
Bergevin, Philippe
;
Calmès, Christian
;
Théoret, Raymond
- In:
International advances in economic research : IAER ; an …
19
(
2013
)
3
,
pp. 233-247
Persistent link: https://www.econbiz.de/10010188276
Saved in:
6
The stochastic volatility in mean model with time-varying parameters : an application to inflation modeling
Chan, Joshua
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
1
,
pp. 17-28
Persistent link: https://www.econbiz.de/10011704092
Saved in:
7
Efficient estimation of Bayesian VARMAs with time‐varying coefficients
Chan, Joshua
;
Eisenstat, Eric
- In:
Journal of applied econometrics
32
(
2017
)
7
,
pp. 1277-1297
Persistent link: https://www.econbiz.de/10011862722
Saved in:
8
Market-oriented banking, financial stability and macro-prudential indicators of leverage
Calmès, Christian
;
Théoret, Raymond
- In:
Journal of International Financial Markets, …
27
(
2013
)
C
,
pp. 13-34
become more informative of the leverage dynamics. We introduce a
Kalman
filter
procedure to study such elasticity …
Persistent link: https://www.econbiz.de/10011041517
Saved in:
9
Market-oriented banking, financial stability and macro-prudential indicators of leverage
Calmès, Christian
;
Théoret, Raymond
- In:
Journal of international financial markets, …
27
(
2013
),
pp. 13-34
Persistent link: https://www.econbiz.de/10010411755
Saved in:
10
Shadow banking and the dynamics of aggregate leverage: An application of the
Kalman
filter
to cyclical leverage measures
Calmès, Christian
;
Théoret, Raymond
-
Départment des sciences administratives, Université …
-
2011
setting, which features
Kalman
filter
procedures and different detrending methods. Applying this framework to Canadian data …
Persistent link: https://www.econbiz.de/10008860730
Saved in:
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