Search Results - subject:"State Space Models"

The dynamics of returns on renewable energy companies: A state-space approach

Inchauspe, Julian; Ripple, Ronald D.; Trück, Stefan - In: Energy Economics 48 (2015) C, pp. 325-335

The renewable energy sector has accomplished remarkable growth rates over the last decade. This paper examines the dynamics of excess returns for the WilderHill New Energy Global Innovation Index, which lists firms in the renewable energy sector and is used as a global benchmark. We propose a...

Persistent link: https://www.econbiz.de/10011208299

Improved beta modeling and forecasting: An unobserved component approach with conditional heteroscedastic disturbances

Ortas, E.; Salvador, M.; Moneva, J.M. - In: The North American Journal of Economics and Finance 31 (2015) C, pp. 27-51

Recent research on time-varying systematic-risk (beta) modeling reveals significant advantages in utilizing daily financial data and unobserved-component models. This research proposes a state-space market model with conditional heteroscedastic errors, thus addressing the leptokurtosis of the...

Persistent link: https://www.econbiz.de/10011191065

Real-time forecasting regional tourism with business sentiment surveys

Guizzardi, Andrea; Stacchini, Annalisa - In: Tourism management : research, policies, practice 47 (2015), pp. 213-223

Persistent link: https://www.econbiz.de/10010499453

EuroMInd-C : a disaggregate monthly indicator of economic activity for the Euro area and member countries

Grassi, Stefano; Proietti, Tommaso; Frale, Cecilia; … - In: International journal of forecasting 31 (2015) 3, pp. 712-738

Persistent link: https://www.econbiz.de/10011474534

High dimensional dynamic stochastic copula models

Creal, Drew; Tsay, Ruey S. - In: Journal of econometrics 189 (2015) 2, pp. 335-345

Persistent link: https://www.econbiz.de/10011504544

Output growth in German manufacturing, 1907-1936 : a reinterpretation of time-series evidence

Veenstra, Joost - In: Explorations in economic history : EEH 57 (2015), pp. 38-49

Persistent link: https://www.econbiz.de/10011440320

Forecasting the price of gold using dynamic model averaging

Aye, Goodness C.; Gupta, Rangan; Hammoudeh, Shawkat; … - In: International review of financial analysis 41 (2015), pp. 257-266

Persistent link: https://www.econbiz.de/10011508954

Improved beta modeling and forecasting : an unobserved component approach with conditional heteroscedastic disturbances

Ortas, E.; Salvador, Manuel; Moneva, J. M. - In: The North American journal of economics and finance : a … 31 (2015), pp. 27-51

Persistent link: https://www.econbiz.de/10011511029

The HESSIAN method for models with leverage-like effects

Djegnéné, Barnabé; McCausland, William J. - In: Journal of financial econometrics : official journal of … 13 (2015) 3, pp. 722-755

Persistent link: https://www.econbiz.de/10011339247

Short-run forecasting of Argentine gross domestic product growth

Camacho, Maximo; Dal Bianco, Marcos; Martínez-Martín, … - In: Emerging markets finance & trade : a journal of the … 51 (2015) 3, pp. 473-485

Persistent link: https://www.econbiz.de/10011403777