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High-dimensional Holt-Winters trend model : fast estimation and prediction

Sbrana, Giacomo - In: Journal of the Operational Research Society 72 (2021) 3, pp. 701-713

Persistent link: https://www.econbiz.de/10012500983

Aggregation of exponential smoothing processes with an application to portfolio risk evaluation

Sbrana, Giacomo; Silvestrini, Andrea - In: Journal of banking & finance 37 (2013) 5, pp. 1437-1450

Persistent link: https://www.econbiz.de/10009729085

Multivariate trend-cycle extraction with the Hodrick-Prescott filter

Poloni, Federico; Sbrana, Giacomo - In: Macroeconomic dynamics 21 (2017) 6, pp. 1336-1360

Persistent link: https://www.econbiz.de/10011805476

Estimating High Dimensional Multivariate Stochastic Volatility Models

Pelagatti, Matteo M. - 2020

This paper proposes three main results that enable the estimation of high dimensional multivariate stochastic volatility models. The first result is the closed-form steady-state Kalman filter for the multivariate AR(1) plus noise model. The second result is an accelerated EM algorithm for...

Persistent link: https://www.econbiz.de/10012843258