Search Results - subject:"State–space models"

State space models and the KALMAN-filter in stochastic claims reserving : forecasting, filtering and smoothing

Chukhrova, Nataliya; Johannssen, Arne - In: Risks : open access journal 5 (2017) 2, pp. 1-44

This paper gives a detailed overview of the current state of research in relation to the use of state space models and …-based, which complicates their applications. Therefore, to facilitate the implementation of state space models in practice, we …, an empirical comparison of the scalar state space model, promising prior state space models and some popular stochastic …

Persistent link: https://www.econbiz.de/10011687311

Macroeconomic nowcasting and forecasting with big data

Bok, Brandyn; Caratelli, Daniele; Giannone, Domenico; … - 2017

Data, data, data . . . Economists know it well, especially when it comes to monitoring macroeconomic conditions - the basis for making informed economic and policy decisions. Handling large and complex data sets was a challenge that macroeconomists engaged in real-time analysis faced long before...

Persistent link: https://www.econbiz.de/10011754390

Forecasting exchange rates : the time-varying relationship between exchange rates and Taylor rule fundamentals

Haskamp, Ulrich - 2017

There is empirical evidence for a time-varying relationship between exchange rates and fundamentals. Such a relationship with time-varying coefficients can be estimated by a Kalman filter model. A Kalman filter estimates the coefficients recursively depending on the prediction error of the...

Persistent link: https://www.econbiz.de/10011700704

Predicting financial market crashes using ghost singularities

Smug, Damian; Ashwin, Peter; Sornette, Didier - 2017

We analyse the behaviour of a non-linear model of coupled stock and bond prices exhibiting periodically collapsing bubbles. By using the formalism of dynamical system theory, we explain what drives the bubbles and how foreshocks or aftershocks are generated. A dynamical phase space...

Persistent link: https://www.econbiz.de/10011762259

Cointegration between trends and their estimators in state space models and cointegrated vector autoregressive models

Johansen, Søren; Tabor, Morten Nyboe - In: Econometrics : open access journal 5 (2017) 3, pp. 1-46

A state space model with an unobserved multivariate random walk and a linear observation equation is studied. The purpose is to find out when the extracted trend cointegrates with its estimator, in the sense that a linear combination is asymptotically stationary. It is found that this result...

Persistent link: https://www.econbiz.de/10011711088

Modelling the volatility of commodities prices using a stochastic volatility model with random level shifts

Alvaro, Dennis; Guillén, Ángel; Rodriguez, Gabriel - In: Review of world economics 153 (2017) 1, pp. 71-103

Persistent link: https://www.econbiz.de/10011889303

Restricted Hodrick-Prescott filtering in a state-space framework

Jönsson, Kristian - In: Empirical economics : a journal of the Institute for … 53 (2017) 3, pp. 1243-1251

Persistent link: https://www.econbiz.de/10011893027

Forecasting Recessions in Turkey with Qual-VAR Models

Tunay, K. Batu - In: Business and Economics Research Journal 2 (2011) 4, pp. 51-51

This study aims to make out-of-sample forecasts of recessions using the data of Turkey between 1986-2010. Recession forecast is important for decision makers in every level since it increases efficiency of decision making. Forecasting method used in this study is Qual-VAR method which includes...

Persistent link: https://www.econbiz.de/10010840087

Policy Rule Coefficients Driven by Latent Factors: Monetary and Fiscal Policy Interactions in an Endowment Economy

Gonzalez-Astudillo, Manuel - Volkswirtschaftliche Fakultät, … - 2011

In this paper I formulate, solve and estimate an endowment version of a macroeconomic dynamic stochastic general equilibrium model with monetary and fiscal policy rules whose coefficients are time-varying and contemporaneously correlated. The aim of the paper is to identify from data the...

Persistent link: https://www.econbiz.de/10008919790

Bootstrap LR tests of stationarity, common trends and cointegration

Busetti, Fabio; Sanzo, Silvestro di - Banca d'Italia - 2011

The paper considers likelihood ratio (LR) tests of stationarity, common trends and cointegration for multivariate time series. As the distribution of these tests is not known, a bootstrap version is proposed via a state space representation. The bootstrap samples are obtained from the Kalman...

Persistent link: https://www.econbiz.de/10009019261