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  • Search: subject:"Non-Gaussian models"
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Year of publication
Subject
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Forecasting model 3 Prognoseverfahren 3 Theorie 3 Theory 3 Regression analysis 2 Regressionsanalyse 2 State space model 2 Stochastic process 2 Stochastischer Prozess 2 Volatility 2 Volatilität 2 Zustandsraummodell 2 non-Gaussian models 2 ARCH model 1 ARCH-Modell 1 ARMA model 1 ARMA-Modell 1 CAPM 1 Capital income 1 Dynamic regression 1 Estimation 1 Fundamental factors 1 Inflation 1 Inflation expectations 1 Inflationserwartung 1 Kalman filter 1 Kapitaleinkommen 1 Measurement 1 Messung 1 Non-Gaussian models 1 S&P 500 1 Schätzung 1 Statistical distribution 1 Statistische Verteilung 1 Stochastic volatility 1 Time series analysis 1 Zeitreihenanalyse 1 continuous time 1 cycles 1 density forecasts 1
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Online availability
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Free 2 Undetermined 1
Type of publication
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Article 2 Book / Working Paper 1
Type of publication (narrower categories)
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Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 3
Author
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Harvey, Andrew 1 Huber, Florian 1 Kastner, Gregor 1 Mitchell, James 1 Pfarrhofer, Michael 1 Zaman, Saeed 1
Published in...
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Empirical economics : a quarterly journal of the Institute for Advanced Studies 1 Federal Reserve Bank of Cleveland working paper series 1 Handbook of economic forecasting ; 1 1
Source
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ECONIS (ZBW) 3
Showing 1 - 3 of 3
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Introducing shrinkage in heavy-tailed state space models to predict equity excess returns
Huber, Florian; Kastner, Gregor; Pfarrhofer, Michael - In: Empirical economics : a quarterly journal of the … 68 (2025) 2, pp. 535-553
Persistent link: https://www.econbiz.de/10015193830
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The distributional predictive content of measures of inflation expectations
Mitchell, James; Zaman, Saeed - 2023
Persistent link: https://www.econbiz.de/10014440979
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Chapter 7 Forecasting with Unobserved Components Time Series Models
Harvey, Andrew - 2006
Structural time series models are formulated in terms of components, such as trends, seasonals and cycles, that have a direct interpretation. As well as providing a framework for time series decomposition by signal extraction, they can be used for forecasting and for ‘nowcasting’. The...
Persistent link: https://www.econbiz.de/10014023699
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