Search Results - subject:"State Space Models"

A novel approach to the estimation of an actively managed component of foreign exchange reserves

Da̜browski, Marek A. - In: Economic modelling 96 (2021), pp. 83-95

Persistent link: https://www.econbiz.de/10012745339

Indirect inference for locally stationary models

Frazier, David T.; Koo, Bonsoo - In: Journal of econometrics 223 (2021) 1, pp. 1-27

Persistent link: https://www.econbiz.de/10012619956

Pairs trading with general state space models

Zhang, Guang - In: Quantitative finance 21 (2021) 9, pp. 1567-1587

Persistent link: https://www.econbiz.de/10012624158

A state-space model to estimate potential growth in the industrialized countries

Brand, Thomas; Dufrénot, Gilles; Mayerowitz, Antoine - In: Recent econometric techniques for macroeconomic and …, (pp. 61-77). 2021

This paper proposes new estimates of potential growth for 5 major industrialized countries. We use a state-space approach to obtain joint estimates of potential growth and the natural interest rates. The model is a reduced-form of a partial equilibrium model with a Phillips curve and an IS...

Persistent link: https://www.econbiz.de/10012395361

Price dividend ratio and long-run stock returns : a score-driven state space model

Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 1054-1065

Persistent link: https://www.econbiz.de/10012653225

Stochastic volatility in mean : empirical evidence from Latin-American stock markets using Hamiltonian Monte Carlo and Riemann Manifold HMC methods

Abanto-Valle, Carlos A.; Rodriguez, Gabriel; … - In: The quarterly review of economics and finance : journal … 80 (2021), pp. 272-286

Persistent link: https://www.econbiz.de/10012655392

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/10011942775

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

Johansen, Søren; Tabor, Morten Nyboe - In: Econometrics 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/10011995243

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

Chukhrova, Nataliya; Johannssen, Arne - In: Risks 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/10011996652

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/10011701312