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  • Search: subject:"State-space representation"
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Year of publication
Subject
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Theorie 12 Theory 12 Time series analysis 12 Zeitreihenanalyse 12 State space model 10 Zustandsraummodell 10 state space representation 10 VAR model 8 VAR-Modell 8 state-space representation 7 Forecasting model 6 Prognoseverfahren 6 cointegration 5 matrix spectral factorization 5 ARMA model 4 ARMA-Modell 4 DSGE model 4 DSGE-Modell 4 Dynamic equilibrium 4 Dynamisches Gleichgewicht 4 Linear algebra 4 Lineare Algebra 4 State space representation 4 State-space representation 4 Stochastic process 4 Stochastischer Prozess 4 unit roots 4 DSGE models 3 Estimation 3 Forecasting 3 Frühindikator 3 Leading indicator 3 Options 3 Schätzung 3 block-Vandermonde eigenvectors of block-companion state-transition matrix of state-space representation 3 canonical form 3 Affine Jump-Diffusion 2 Brasilien 2 Brazil 2 Bruttoinlandsprodukt 2
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Online availability
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Free 22 Undetermined 12 CC license 1
Type of publication
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Article 23 Book / Working Paper 17
Type of publication (narrower categories)
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Article in journal 18 Aufsatz in Zeitschrift 18 Working Paper 10 Arbeitspapier 5 Graue Literatur 5 Non-commercial literature 5 Article 2
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Language
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English 36 Undetermined 4
Author
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Bauer, Dietmar 6 Wagner, Martin 6 Zadrozny, Peter A. 5 Laeven, Roger J. A. 3 Vladimirov, Evgenii 3 Boswijk, Herman Peter 2 Cavicchioli, Maddalena 2 Gómez Trejos, Felipe A. 2 Issler, João Victor 2 Kolasa, Marcin 2 Matuschek, Lukas 2 Nonejad, Nima 2 Notini, Hilton Hostalácio 2 Raknerud, Arvid 2 Skare, Øivind 2 Ysusi, Carla 2 Boswijk, H. Peter 1 Christensen, Bent Jesper 1 Czado, Claudia 1 Fakoor, Mehdi 1 Franchi, Massimo 1 Goto, Hiroyuki 1 Gouriéroux, Christian 1 Gyamerah, Samuel Asante 1 Högn, Ralph 1 Ikpe, Dennis 1 Jafari, Mohammad Haji 1 Jasiak, Joann 1 Kociñecki, Andrzej 1 Kocięcki, Andrzej 1 Kosari, Amirreza 1 Lee, Jae Won 1 Neri, Luca 1 Ohl, Ludwig 1 POEL, D. VAN DEN 1 PRINZIE, A. 1 Park, Woong-yong 1 Parra-Alvarez, Juan Carlos 1 Paruolo, Paolo 1 Ribeiro, Patrick de Matos 1
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Institution
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Department Volkswirtschaftlehre, Universität Bern 4 Econometric Society 1 Faculteit Economie en Bedrijfskunde, Universiteit Gent 1 Statistisk Sentralbyrå, Government of Norway 1
Published in...
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Diskussionsschriften 4 Journal of econometrics 3 Economics letters 2 International Journal of Monetary Economics and Finance 2 Annals of economics and statistics 1 BLS working papers 1 CESifo Working Paper 1 CESifo working papers 1 CFS Working Paper Series 1 CFS working paper series 1 Computational economics 1 Discussion Paper 1 Discussion Papers 1 Discussion Papers / Statistisk Sentralbyrå, Government of Norway 1 Discussion paper / Tinbergen Institute 1 Econometric Society 2004 Far Eastern Meetings 1 Econometrics 1 Econometrics : open access journal 1 Energy economics 1 Ensaios econômicos 1 IEEE transactions on engineering management : EM 1 International journal of financial engineering 1 Journal of empirical finance 1 Journal of forecasting 1 Opsearch : journal of the Operational Research Society of India 1 Quantitative Economics 1 Quantitative economics : QE ; journal of the Econometric Society 1 Revista brasileira de economia : RBE ; revista da Escola de Pós-Graduação em Economia da Fundação Getúlio Vargas 1 Revista de Ciencias Económicas 1 Revista de ciencias económicas 1 The North American journal of economics and finance : a journal of financial economics studies 1 Tinbergen Institute Discussion Paper 1 Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 1
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Source
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ECONIS (ZBW) 23 RePEc 10 EconStor 7
Showing 1 - 10 of 40
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Forecasting Markov switching vector autoregressions : evidence from simulation and application
Cavicchioli, Maddalena - In: Journal of forecasting 44 (2025) 1, pp. 136-152
Persistent link: https://www.econbiz.de/10015374001
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On a consistent state-space bond markets model for pricing long-maturity bonds
Ikpe, Dennis; Sithole, Yethu; Gyamerah, Samuel Asante - In: International journal of financial engineering 9 (2022) 4, pp. 1-30
Persistent link: https://www.econbiz.de/10014234421
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Estimating option pricing models using a characteristic function-based linear state space representation
Boswijk, Herman Peter; Laeven, Roger J. A.; Vladimirov, … - In: Journal of econometrics 244 (2024) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10015552398
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Estimation of continuous-time linear DSGE models from discrete-time measurements
Christensen, Bent Jesper; Neri, Luca; Parra-Alvarez, … - In: Journal of econometrics 244 (2024) 2, pp. 1-24
Persistent link: https://www.econbiz.de/10015552445
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Modeling the out-of-sample predictive relationship between equity premium, returns on the price of crude oil and economic policy uncertainty using multivariate time-varying dimension models
Nonejad, Nima - In: Energy economics 126 (2023), pp. 1-20
Persistent link: https://www.econbiz.de/10014483453
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Impulse response function analysis for Markov switching VAR models
Cavicchioli, Maddalena - In: Economics letters 232 (2023), pp. 1-4
Persistent link: https://www.econbiz.de/10014464479
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Global identification of linearized DSGE models
Kocięcki, Andrzej; Kolasa, Marcin - In: Quantitative economics : QE ; journal of the … 9 (2018) 3, pp. 1243-1263
This paper introduces a computational framework to analyze global identification of linearized DSGE models. A formal identification condition is established that relies on the restrictions linking the observationally equivalent state space representations and on the inherent constraints imposed...
Persistent link: https://www.econbiz.de/10011994637
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Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation
Boswijk, H. Peter; Laeven, Roger J. A.; Vladimirov, Evgenii - 2022
affine in the model's state vector. We formally derive an associated linear state space representation and establish the … asymptotic properties of the corresponding measurement errors. The state space representation allows us to use a suitably …
Persistent link: https://www.econbiz.de/10014321750
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Estimating option pricing models using a characteristic function-based linear state space representation
Boswijk, Herman Peter; Laeven, Roger J. A.; Vladimirov, … - 2022
affine in the model's state vector. We formally derive an associated linear state space representation and establish the … asymptotic properties of the corresponding measurement errors. The state space representation allows us to use a suitably …
Persistent link: https://www.econbiz.de/10013413523
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Predicting equity premium using dynamic model averaging : does the state-space representation matter?
Nonejad, Nima - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-34
Persistent link: https://www.econbiz.de/10012822226
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