Search Results - subject_exact:"State space model"

An extended score-driven dynamic factor model : constructing composite indices in turbulent times

Artemova, Mariia; Dijk, Dick van; Vladimirov, Evgenii - 2026

We propose an extended score-driven (ESD) dynamic factor model (DFM) that can accommodate non-Gaussian innovations, nonlinear factor dynamics, and timevarying volatility. The main novelty of our model is a state equation that includes both lagged and contemporaneous scores, implying that factors...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015667751

The role of global factors in Bitcoin dynamics : evidence from the TVP-VAR-SV model

Köse, Nezir; Ünal, Emre; Gayaker, Savas - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015672678

Interest rate differentials, exchange rates, and inflation : a Bayesian state-space approach to regime-dependent pass-through in Japan

Kobayashi, Minoru - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015677590

A new business conditions index for Malta

Bigeni, Laura; Ruisi, Germano - 2026

This paper develops a new indicator of business conditions for the Maltese economy starting in January 2001. The index is based on a mixed-frequency dynamic factor model that efficiently handles a dataset of weekly, monthly, and quarterly information, covering several aspects of the economy....

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016090991

Affine feedforward stochastic (AFS) neural network

Gouriéroux, Christian; Monfort, Alain - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015466943

Simultaneous nowcasting of Netherlands' macroeconomic trends and seasonal patterns based on Fourier analysis

Pijpers, Frank P.; Harlaar, Lucas; Brakel, Jan A. van den; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015408522

Revisiting the state-space model of unawareness

Rathke, Alex Augusto Timm - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015207018

Staying positive : challenges and solutions in using pure multiplicative ETS models

Svetunkov, Ivan; Boylan, John Edward - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014634207

Optimal time for closing a trading position

Habib, Reza - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015441711

A lognormal/normal regime-switching commodity pricing model

Yuan, Zhushun; Kwon, Roy H. - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015551267

The impact of greenhouse gas emissions on GDP per capita : a multi-scale analysis using the wavelet approach

Ouattara, Kifory; Gniza, Daniel Innocent - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015617058

Fiscal sustainability under an endogenous fiscal feedback rule : a state space approach

Biolsi, Christopher; Kim, H. Youn - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015624952

A new model of trend inflation using disaggregates, survey expectations, and uncertainty

Tallman, Ellis W.; Zaman, Saeed - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015619060

Structural breaks detection using step-indicator saturation technique in state-space model

Farid Zamani Che Rose; Mohd Tahir Ismail; Nur Aqilah … - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015062778

Riesgo de crédito gestionado por medio de un modelo de espacio-estado aplicado a un portafolio soberano

Tapia V., Pablo; Vargas P., Diego - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015591169

Constructing a high-frequency World Economic Gauge using a mixed-frequency dynamic factor model

Chua, Chew Lian; Tsiaplias, Sarantis; Zhou, Ruining - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015110401

A new method for measuring underlying ínflation in Türkiye

Çapan, Merve; Gülveren, Ahmet; Özsevinç, Tuba - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015606724

Endogenous cycles in heterogeneous agent models : a state-space approach

Gusella, Filippo; Ricchiuti, Giorgio - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015448615

Innovative knowledge-based system for forecasting daily hotel operations amid external events using multi-source data : a time-varying parameter state-space model

Chen, Ji; Tong, Kang; Yu, Qinglin; Chen, Sichao; … - 2026

Forecasting hotel occupancy during external shocks is particularly challenging due to their disruptive effects. This study develops a forecasting framework that integrates multisource data using a time-varying parameter state-space model (TVP-SSM). In this framework, search engine data (SED) are...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015606815

A least-squares filter for sequence-space models

Dinis Rigato, Rodolfo - 2026

Sequence-space models are becoming increasingly popular in macroeconomics, especially in the heterogeneous-agent literature. However, the econometric toolkit for users of these models remains less developed than that available for traditional state-space methods. This note introduces an...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015606824

Macroeconomic indicators and market index interactions in the United States : an empirical analysis

Ahmad Monir Abdullah; Syahidah Hanis Meor Rithuan; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015620142

Drivers of green growth and carbon emissions in Vietnam : a wavelet and quantile-on-quantile examination

Bui Thi Men; Pham, Van Phat - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015620210

Technology exports and electricity use in Turkey : nonlinear frequency evidence

Gezer, Mesut Alper - 2026

This paper investigates the nexus between medium- and high-technology exports and electric- ity consumption from 2016M1 to 2025M05 in Turkey. Nonlinear features in the data lead the use of a Smooth Transition Regression model that shows entrepreneurial expansion which intensifies electricity...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015639179

Using subspace algorithms for the estimation of linear state space models for over-differenced processes

Bauer, Dietmar - 2026

Subspace algorithms like canonical variate analysis (CVA) are regression-based methods for the estimation of linear dynamic state space models. They have been shown to deliver accurate (consistent and asymptotically equivalent to quasi-maximum likelihood estimation using the Gaussian likelihood)...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015640549

Measuring and benchmarking time-varying market efficiency

Mu, Yali; Cramon-Taubadel, Stephan von; Rosero, Gabriel; … - 2026

This paper develops and implements an analytical framework combining spatial space techniques with panel stochastic frontier models to assess and benchmark time-varying market efficiency, with China's pork market serving as the empirical application. We analyze spatial and temporal dynamics in...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015666807

Wavelet-enhanced multimodel framework for stock market forecasting : a comprehensive analysis across market regimes

Okşak, Yüksel; Büyükkör, Yasin; Sarıtaş, Tufan - 2026

In this study, we develop a hybrid forecasting framework that integrates discrete wavelet transform with multiple machine and deep learning architectures to address nonlinearity and regime-dependent dynamics in financial markets. Log-return series using daily data from the BIST 100, S&P 500, and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015664858

Advanced battery modeling and State-of-Charge estimation of lithium-ion batteries : a comprehensive review of modeling approaches, parameterization, and operational challenges

Rout, Satyaprakash; Das, Satyajit; Kumar, K. M. Sanjeeva; … - 2026

Lithium-ion batteries, being the core power sources in electric vehicles and energy storage systems, require accurate State-of-Charge (SOC) estimation to ensure optimized performance and extended lifespan. The implementation of accurate SOC estimation algorithms in battery management systems...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015675304

Unobservable no more : estimating the natural rate of interest under flat IS and Phillips curves

Fiorentini, Gabriele; Galesi, Alessandro; Peña, Rodrigo; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015675314

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Unobservable no more : estimating the natural rate of interest under flat is and phillips curves

Fiorentini, Gabriele; Galesi, Alessandro; Peña, Rodrigo; … - 2026

Book / Working Paper

Nonlinear state estimation with deep learning for financial forecasting : an EKF-LSTM hybrid approach with cross-market evidence

Chunxia Tian; Yirong Bai; Roengchai Tansuchat; Songsak … - 2026

Predicting financial stock returns remains challenging due to their inherent nonlinearity, non-stationarity, and sensitivity to market microstructure noise. Existing approaches typically rely on either econometric filtering techniques or deep learning models in isolation, limiting their ability...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015671894

Distributionally robust extended Kalman filtering for lithiumion battery state-of-charge estimation

Fisher, D.; Sheshyekani, K.; Lesage-Landry, A. - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015675671

Nonlinear dependence and dynamic interactions between LAK per USD and LAK per THB exchange rates : a wavelet and quantile cross-spectral analysis

Bouavanheuang, Linthone; Phouphet Kyophilavong; … - 2026

This study analyzes the intricate linkages and dynamic interactions between the Lao Kip (LAK), U.S. Dollar (USD), and Thai Baht (THB) exchange rates from January 1990 to February 2024, utilizing wavelet coherence and quantile cross-spectral analysis. This research identifies significant...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015675754

Public-data causal multiscale wavelet spillover learning for stock index volatility forecasting and risk early warning

Liu, Hengyan; Shen, Yisu; Jiang, Aiping - 2026

Accurate volatility forecasting and timely risk early warning are foundational requirements of financial risk management: Value-at-Risk estimates, portfolio risk limits, derivative hedging ratios, and stress-test scenario calibrations all depend on forward-looking volatility signals that remain...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676659

Decoupling economic growth from climate change: Unravelling the multi-dimensional dynamics of consumption-based emissions

Quaye, Enoch; Yamoah, Fred A.; Patro, Pratyush K.; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015931528

The inflationary Effects of the El Niño-Southern Oscillation

Gallegati, Marco; Solomou, Solomos; Tian, Kun - 2026

In this paper we apply the wavelet approach and the GVAR methodology to investigate the effects of El Niño fluctuations on national inflation rates, global commodity prices and world oil prices. The focus of our analysis is on the inflation effects of “ENSO diversity”, measured as the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016062116

Dynamic co-movement among exchange rate volatility, energy commodities, and stock indices : a multiple wavelet approach

Mudiangombe, Benjamin; Djemo, Charles Raoul Tchuinkam - 2026

This study employed a different type of wavelet approach to investigate the dynamic interdependence among exchange rate volatility, stock indices, and energy commodity markets. Using daily data covering the period from 2005 to October 2025 on energy commodities, stock index, and foreign exchange...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016063919

Momentum Effects in Team Sports: Analyzing the Interplay between Offense and Defense in the NBA

Winkelmann, David; Michels, Rouven - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016079780

Exploring weak-form efficiency in global Islamic stock markets : evidence from machine learning and wavelet analysis

Kazak, Hasan; Hassan, M. Kabir; Tayfur Akcan, Ahmet; … - 2026

This study aims to comprehensively assess the weak-form efficiency of nine major global Islamic stock indices by employing a combination of advanced machine learning, wavelet coherence (WTC), and Fourier-based econometric methods. The research seeks to reveal both the persistence of market...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016092782