Search Results - subject:"State Space Models"

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

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

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

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