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~person:"Strachan, Rodney W."
~person:"Théoret, Raymond"
~subject:"Method of moments"
~subject:"State space model"
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Method of moments
State space model
Zustandsraummodell
19
Time series analysis
13
Zeitreihenanalyse
13
Theorie
10
Theory
10
Kalman filter
7
Stochastic process
7
Stochastischer Prozess
7
Estimation theory
5
Modellierung
5
Schätztheorie
5
Scientific modelling
5
Leverage
4
Liquidity
4
Volatility
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Volatilität
4
Basel Accord
3
Basler Akkord
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Bayes-Statistik
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Estimation
3
Financial crisis
3
Financial stability
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Finanzkrise
3
Flexible Parametric Model
3
Gibbs Sampling
3
Hedge fund
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Hedgefonds
3
Kalman Filter
3
Markov Chain Monte Carlo
3
Markov chain
3
Markov-Kette
3
Monte Carlo simulation
3
Monte-Carlo-Simulation
3
Multivariate Analyse
3
Multivariate analysis
3
Particle Filter
3
Schätzung
3
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English
19
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Strachan, Rodney W.
Théoret, Raymond
Koopman, Siem Jan
140
Tiwari, Aviral Kumar
50
Chan, Joshua
29
Koop, Gary
29
Proietti, Tommaso
24
Crowley, Patrick M.
22
Harvey, Andrew C.
22
Schorfheide, Frank
22
Gupta, Rangan
21
Kapetanios, George
21
Chan, Joshua C. C.
19
Lucas, André
19
Wel, Michel van der
19
Grassi, Stefano
18
Martin, Gael M.
18
Snyder, Ralph D.
18
Zadrozny, Peter A.
18
Bos, Charles S.
16
Forbes, Catherine Scipione
16
Shephard, Neil G.
16
Fernández-Villaverde, Jesús
15
Hyndman, Rob J.
15
Aloui, Chaker
14
Dar, Arif Billah
14
Ooms, Marius
14
Aguiar-Conraria, Luís
13
Soares, Maria Joana
13
Bhanja, Niyati
12
Delle Monache, Davide
12
Dijk, Herman K. van
12
Fox, Jeremy T.
12
Hindrayanto, Irma
12
Jungbacker, Borus
12
Marcellino, Massimiliano
12
Ramsey, James B.
12
Ur Rehman, Mobeen
12
Woodford, Michael
12
Boubaker, Heni
11
Dungey, Mardi H.
11
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2
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ECONIS (ZBW)
19
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1
Bayesian state space models in macroeconometrics
Chan, Joshua
;
Strachan, Rodney W.
- In:
Journal of economic surveys
37
(
2023
)
1
,
pp. 58-75
Persistent link: https://www.econbiz.de/10014287769
Saved in:
2
Bayesian state space models in macroeconometrics
Chan, Joshua
;
Strachan, Rodney W.
-
2020
Persistent link: https://www.econbiz.de/10012533935
Saved in:
3
Bayesian State Space Models in Macroeconometrics
Chan, Joshua CC
;
Strachan, Rodney W.
-
2020
estimation routines and their outputs. This discussion includes the
Kalman
filter
and smoother, and precision based algorithms …
Persistent link: https://www.econbiz.de/10014091729
Saved in:
4
Multivariate stochastic volatility with co-heteroscedasticity
Chan, Joshua
;
Doucet, Arnaud
;
León-González, Roberto
; …
-
2020
-
This version: September 2020
Persistent link: https://www.econbiz.de/10013355422
Saved in:
5
Multivariate stochastic volatility with co-heteroscedasticity
Chan, Joshua
;
Doucet, Arnaud
;
León-González, Roberto
; …
-
2018
Persistent link: https://www.econbiz.de/10012203994
Saved in:
6
Multivariate stochastic volatility with co-heteroscedasticity
Chan, Joshua
;
Doucet, Arnaud
;
León-González, Roberto
; …
-
2018
Persistent link: https://www.econbiz.de/10012196752
Saved in:
7
Reducing the state space dimension in a large TVP-VAR
Chan, Joshua
;
Eisenstat, Eric
;
Strachan, Rodney W.
- In:
Journal of econometrics
218
(
2020
)
1
,
pp. 105-118
Persistent link: https://www.econbiz.de/10012482932
Saved in:
8
The Procyclicality of Basel III Leverage : Elasticity-Based Indicators and the
Kalman
Filter
Calmès, Christian Pierre Alain
-
2014
to capture the dynamics of aggregate leverage. In this paper, we introduce a
Kalman
filter
procedure to study such …
Persistent link: https://www.econbiz.de/10013058473
Saved in:
9
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:
10
Estimation in non-linear non-Gaussian state space models with precision-based methods
Chan, Joshua C. C.
;
Strachan, Rodney W.
-
2012
Persistent link: https://www.econbiz.de/10009561179
Saved in:
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