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Adaptive Estimation and Prediction of Univariate Vehicular Traffic Condition Series

Guo, Jianhua - 2005

two conditional moments of univariate traffic flow series can be modeled as a SARIMA+GARCH structure, based on which an … smoothing; the local variation is processed using Kalman filter by constructing a state space model. Afterwards, GARCH model is … processed using Kalman filter based on the recognition that GARCH has an equivalent representation as ARMA in the sense of …

Persistent link: https://www.econbiz.de/10009431160

A Metropolis-in-Gibbs Sampler for Estimating Equity Market Factors

Tsiaplias, Sarantis - Melbourne Institute of Applied Economic and Social … - 2007

A model incorporating common Markovian regimes and GARCH residuals in a persistent factor environment is considered … Kalman filter with a Markovian regime component and GARCH innovations. To accelerate the drawing procedure, approximations to …

Persistent link: https://www.econbiz.de/10005771870

Time Series Forecasting: The Case for the Single Source of Error State Space

Ord, J Keith; Snyder, Ralph D; Koehler, Anne B; … - Department of Econometrics and Business Statistics, … - 2005

The state space approach to modelling univariate time series is now widely used both in theory and in applications. However, the very richness of the framework means that quite different model formulations are possible, even when they purport to describe the same phenomena. In this paper, we...

Persistent link: https://www.econbiz.de/10005427626

Methodology and Implementation of Value-at-Risk Measures in Emerging Fixed-Income Markets with Infrequent Trading.

Cortazar, Gonzalo; Bernales, Alejandro; Beuermann, Diether - EconWPA - 2005

This paper deals with the issue of calculating daily Value-at-Risk (VaR) measures within an environment of thin trading. Our approach focuses on fixed income portfolios with low frequency of transactions in which the missing data problem makes VaR measures difficult to calculate. We propose and...

Persistent link: https://www.econbiz.de/10005413068

Time varying country risk: an assessment of alternative modelling techniques

Brooks, R. D.; Faff, R. W.; McKenzie, M. - In: The European Journal of Finance 8 (2002) 3, pp. 249-274

Three different techniques for the estimation of a time-varying beta are investigated: a bivariate GARCH model, the … performance of each of these methods for generating conditional beta suggest that the GARCH-based estimates of risk generate the …

Persistent link: https://www.econbiz.de/10005438031

Estimating the Dynamics of Weak Efficiency on the Prague Stock Exchange Using the Kalman Filter

Pošta, Vít - In: Czech Journal of Economics and Finance (Finance a uver) 58 (2008) 05-06, pp. 248-260

The paper builds on the martingale representation of the market efficiency hypothesis and, with the use of an E-GARCH …

Persistent link: https://www.econbiz.de/10005536970

Forecasting the weekly time-varying beta of UK firms: GARCH models vs. Kalman filter method

Choudhry, Taufiq; Wu, Hao - In: The European Journal of Finance 15 (2009) 4, pp. 437-444

Heteroscedasticity (GARCH) models and the Kalman filter method. The three GARCH models applied are: bivariate GARCH, BEKK GARCH, and … GARCH-GJR. Forecast errors based on 20 UK company's weekly stock return (based on time-varying beta) forecasts are employed … to evaluate the out-of-sample forecasting ability of both the GARCH models and the Kalman method. Measures of forecast …

Persistent link: https://www.econbiz.de/10004966527

Forecasting interest rates: A Comparative assessment of some second generation non-linear model

Nachane, Dilip M.; Clavel, Jose G. - Indira Gandhi Institute of Development Research (IGIDR) - 2005

-…-vis three GARCH models (GARCH (1,1), GARCH-M (1,1) and EGARCH (1,1)) as well as the random walk model. The Kalman filter model …

Persistent link: https://www.econbiz.de/10005706131

FORECASTING INTEREST RATES - A COMPARATIVE ASSESSMENT OF SOME SECOND GENERATION NON-LINEAR MODELS

Nachane, Dilip M.; Clavel, Jose G. - East Asian Bureau of Economic Research (EABER) - 2005

--vis three GARCH models (GARCH (1,1), GARCH-M (1,1) and EGARCH (1,1)) as well as the random walk model. The Kalman filter model …

Persistent link: https://www.econbiz.de/10009365437

The effects of different inflation risk premiums on interest rate spreads

Berument, Hakan; Kilinc, Zubeyir; Ozlale, Umit - In: Physica A: Statistical Mechanics and its Applications 333 (2004) C, pp. 317-324

—are defined and derived by using a time-varying parameter model with a GARCH specification. It is found that both the structural …

Persistent link: https://www.econbiz.de/10011058271