Search Results - subject:"Structural time series modelling"

A structural time series analysis of the effect of quantitative easing on stock prices

Tawadros, George B.; Moosa, Imad A. - In: International Journal of Financial Studies : open … 10 (2022) 4, pp. 1-17

In this paper, a structural time series model is estimated to analyse the effect of quantitative easing (QE) on stock prices for the US, UK and Japan. The model is estimated by maximum likelihood in a time-varying parametric framework, using the DJIA, S&P500, NASDAQ, FTSE100 and the NIKKEI225 as...

Persistent link: https://www.econbiz.de/10013465339

Inflation indicators : co-integration in structural time series models

Houeweling, Sara; Ouwehand, Pim - 2018

Persistent link: https://www.econbiz.de/10011818025

Measuring discontinuities due to survey process redesigns

Brakel, Jan A. van den; Zhang, Xichuan; Tam, Siu-Ming - 2017

Persistent link: https://www.econbiz.de/10011688001

Bootstrapping standard errors of estimates based on structural time series models

Krieg, Sabine; Brakel, Jan A. van den - 2017

Persistent link: https://www.econbiz.de/10011762439

Small area estimation with state-space common factor models for rotating panels

Brakel, Jan A. van den; Krieg, Sabine - 2014

Persistent link: https://www.econbiz.de/10010393950

UNDERLYING TRENDS IN EMPLOYMENTOUTPUT EQUATION: THE CASE OF JORDAN

AL-RABBAIE, ARQAM; ALWAKED, AHMAD A.; ALTARAWNEH, YASEEN - In: Perspectives of Innovation in Economics and Business (PIEB) 3 (2009) 3, pp. 35-37

The underlying employment trend (UET) is investigated in Jordanian economy over the period 1989- 2004 using structural time series model (STSM). This approach allows to modelling the trend in its stochastic form introduced by Harvey (1989). The results show that a stochastic trend is preferred...

Persistent link: https://www.econbiz.de/10010615559