Search Results - subject:"State-Space Models"

Realized random graphs, with an application to the interbank network

Buccheri, Giuseppe; Mazzarisi, Piero - In: Journal of financial econometrics 23 (2025) 2, pp. 1-34

Persistent link: https://www.econbiz.de/10015339740

The structural Theta method and its predictive performance in the M4-Competition

Sbrana, Giacomo; Silvestrini, Andrea - In: International journal of forecasting 41 (2025) 3, pp. 940-952

Persistent link: https://www.econbiz.de/10015441512

Coupling LSTM neural networks and state-space models through analytically tractable inference

Vuong, Van-Dai; Nguyen, Luong-Ha; Goulet, James-A. - In: International journal of forecasting 41 (2025) 1, pp. 128-140

Persistent link: https://www.econbiz.de/10015440244

Endogenous vs exogenous fluctuations : unveiling the impact of heterogeneous expectations

Delli Gatti, Domenico; Gusella, Filippo; Ricchiuti, Giorgio - In: Macroeconomic dynamics 29 (2025), pp. 1-21

Persistent link: https://www.econbiz.de/10015624937

Dynamic factor models and fractional integration : with an application to US real economic activity

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Econometrics : open access journal 12 (2024) 4, pp. 1-13

This paper makes a twofold contribution. First, it develops the dynamic factor model of by allowing for fractional integration instead of imposing the classical dichotomy between I(0) stationary and I(1) non-stationary series. This more general setup provides valuable information on the degree...

Persistent link: https://www.econbiz.de/10015272692

Multicountry time-varying Taylor rule : modeling unconventional monetary policies and bond premiums

Morita, Tohru - In: International advances in economic research 30 (2024) 2, pp. 135-158

Persistent link: https://www.econbiz.de/10014583856

The structural Theta method and its predictive performance in the M4-Competition

Sbrana, Giacomo; Silvestrini, Andrea - 2024

Persistent link: https://www.econbiz.de/10014633782

Herding states and stock market returns

Costa, Filipe; Fortuna, Natércia; Lobão, Júlio - In: Research in international business and finance 68 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014451812

Dynamic factor models and fractional integration : with an application to US real economic activity

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2024

This paper makes a twofold contribution, First, it develops the dynamic factor model of Barigozzi et al. (2016) by allowing for fractional integration instead of imposing the classical dichotomy between I(0) stationary and I(1) non-stationary series. This more general setup provides valuable...

Persistent link: https://www.econbiz.de/10015125374

Dynamic Factor Models and Fractional Integration – With an Application to US Real Economic Activity

Caporale, Guglielmo Maria; Gil-Alana, Luis Alberiko; … - 2024

Persistent link: https://www.econbiz.de/10015175267