HASH(0x100adf398)

The paper considers how the Kalman filter has influenced the development of recursive parameter estimation since the publication of Rudolf Kalman's seminal article in 1960. It will present a partial review of developments over the past half century and provide a tutorial introduction to the...

We extend Ohlson's (1995) model and examine the relationship between returns and residual income that incorporate analysts' earnings forecasts and other non-earnings information variables in the balance sheet, namely default probability and agency cost of a debt covenant contract. We further...

Transfer function or distributed lag models are commonly used in forecasting. The stability of a constant-coefficient transfer function model, however, may become an issue for many economic variables due in part to the recent advance in technology and improvement in efficiency in data collection...

HASH(0x100a788a8)

In this paper we consider properties of random aggregation in time series analysis. For application, we focus on the problem of estimating the high-frequency beta of an asset return when the returns are subject to the effects of market microstructure. Specifically, we study the correlation...

Trends are extracted from the central England temperature (CET) data available from 1723, using both annual and seasonal averages. Attention is focused on fitting non-parametric trends and it is found that, while there is no compelling evidence of a trend increase in the CET, there have been...