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Sequential Monte Carlo sampling for state space models
Wüthrich, Mario V. - In: Robustness in econometrics, (pp. 25-50). 2017
The aim of these notes is to revisit sequential Monte Carlo (SMC) sampling. SMC sampling is a powerful simulation tool for solving non-linear and/or non-Gaussian state space models. We illustrate this with several examples.
Persistent link: https://www.econbiz.de/10011800920
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A survey of recent theoretical results for time series models with GARCH errors
Li, Wai Keung; Ling, Shiqing; McAleer, Michael - In: Papers in efficiency, effectiveness and international …, (pp. 128-153). 2000
Persistent link: https://www.econbiz.de/10001684387
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ARCH models and an application on exchange rate volatility : ARCH and GARCH models
Kantar, Lokman - In: Handbook of research on emerging theories, models, and …, (pp. 287-300). 2021
by nonlinear methods. This chapter discusses the GARCH models (GARCH, GJR, EGARCH), which are nonlinear models, and tests … indicated that the GARCH (1,1) model successfully explained the volatility in the exchange rate. …
Persistent link: https://www.econbiz.de/10012604258
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Forecasting and backtesting of market risks in emerging markets
Fantazzini, Dean - In: Risk assessment and financial regulation in emerging …, (pp. 199-223). 2021
-by-step analysis with R and Russian market data is provided. Four classes of models are considered (GARCH, HAR, ARFIMA, and realized-GARCH …
Persistent link: https://www.econbiz.de/10012591721
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Forecasting cash holding with cash deposit using time series approaches
Kobpongkit Navapan; Liu, Jianxu; Songsak Sriboonchitta - In: Robustness in econometrics, (pp. 501-510). 2017
Persistent link: https://www.econbiz.de/10011801810
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Estimating term structure models with the Kalman filter
Prokopczuk, Marcel; Wu, Yingying - In: Handbook of research methods and applications in …, (pp. 97-113). 2013
Persistent link: https://www.econbiz.de/10011897367
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Robustness analysis of naı̈ve Bayesian classifier-based collaborative filtering
Kaleli, Cihan; Polat, Huseyin - In: E-commerce and web technologies : 14th international …, (pp. 202-209). 2013
Persistent link: https://www.econbiz.de/10010233384
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Particle filtering
Johannes, Michael; Polson, Nicholas G. - In: Handbook of financial time series, (pp. 1015-1029). 2009
Persistent link: https://www.econbiz.de/10003834288
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Maximum likelihood estimation of time series models : the Kalman filter and beyond
Proietti, Tommaso; Luati, Alessandra - In: Handbook of research methods and applications in …, (pp. 334-362). 2013
Persistent link: https://www.econbiz.de/10010206765
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A parametric approach for estimating core inflation and interpreting the inflation process
Apel, Mikael; Jansson, Per - In: Measures of underlying inflation and their role in the …, (pp. 1-22). 1999
Persistent link: https://www.econbiz.de/10001461753