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

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

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

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

Caporale, Guglielmo Maria; Gil-Alana, Luis Alberiko; … - 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/10015175267

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