Search Results - subject:"Unobserved components time series."

Inflation, inflation expectations and central bank communication in emerging markets

Sánchez-Fung, José R. - In: Macroeconomics and finance in emerging market economies 15 (2022) 3, pp. 215-230

Persistent link: https://www.econbiz.de/10013415762

Unobserved Components with Stochastic Volatility in U.S. Inflation: Estimation and Signal Extraction

Li, Mengheng; Koopman, Siem Jan - 2018

We consider unobserved components time series models where the components are stochastically evolving over time and are …

Persistent link: https://www.econbiz.de/10011819542

Unobserved components with stochastic volatility in U.S. inflation : estimation and signal extraction

Li, Mengheng; Koopman, Siem Jan - 2018

We consider unobserved components time series models where the components are stochastically evolving over time and are …

Persistent link: https://www.econbiz.de/10011809984

Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area

Galati, Gabriele; Hindrayanto, Irma; Koopman, Siem Jan; … - 2016

We adopt an unobserved components time series model to extract financial cycles for the United States and the five …

Persistent link: https://www.econbiz.de/10011526106

Measuring financial cycles in a model-based analysis : empirical evidence for the United States and the euro area

Galati, Gabriele; Hindrayanto, Irma; Koopman, Siem Jan; … - 2016

We adopt an unobserved components time series model to extract financial cycles for the United States and the five …

Persistent link: https://www.econbiz.de/10011456728

Structural Intervention Time Series Analysis of Crime Rates: The Impact of Sentence Reform in Virginia

Vujic, Suncica; Commandeur, Jacques; Koopman, Siem Jan - 2012

We adopt a structural time series analysis to investigate the impact of parole abolition and sentence reform in Virginia on reported crime rates. The Commonwealth of Virginia abolished parole and reformed sentencing for all felony offences committed on or after January 1, 1995. To examine the...

Persistent link: https://www.econbiz.de/10010326293