Search Results - subject_exact:"State space model"

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Affine feedforward stochastic (AFS) neural network

Gouriéroux, Christian; Monfort, Alain - 2025

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015408522

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

Svetunkov, Ivan; Boylan, John Edward - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014634207

Optimal time for closing a trading position

Habib, Reza - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015441711

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015617058

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

Tallman, Ellis W.; Zaman, Saeed - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015619060

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015591169

A new method for measuring underlying ínflation in Türkiye

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015606724

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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015640549

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015664858

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015666807

Analysis forecasting of gasoline prices in some ASEAN countries by using state space representation on vector autoregressive model

Mustofa Usman; Komarudin, M.; Nurhanurawati, Nurhanurawati - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014433779

Strategic decision-making on mining sector company stock prices and economic variable (state space model application)

Ahadiat, Ayi; Kesumah, Fajrin Satria Dwi; Azhar, Rialdi; … - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014366763

Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models

Hartkopf, Jan Patrick - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014226292

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Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models

Hartkopf, Jan Patrick - 2022

Article

A Univariate based NAIRU Estimation in the Context of Data Constrained Developing Countries

Tauheed, Tahira; Tauseef, Tahira - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015441674

Improving score-driven density forecasts with an application to implied volatility surface dynamics

Zou, Xia; Lin, Yicong; Lucas, André - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015432682

Equilibrio y desalineamientos del tipo de cambio nominal en Bolivia (1990-2024)

Muriel Hernández, Beatriz; Terrazas M., Ronaldo - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015619479

From waves to rates : enhancing inflation forecasts through combinations of frequency-domain models

Verona, Fabio - 2025

This paper addresses the challenge of inflation forecasting by adopting a thick modeling approach that integrates forecasts from time- and frequency-domain models. Frequency-domain models excel at capturing long-term trends while also accounting for short-term fluctuations. Combining these...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015164409

Nonlinear estimation of a New Keynesian model with endogenous inflation de-anchoring

Hecker, Dominik; Wolters, Maik H. - 2025

We estimate a New Keynesian model that allows endogenous transitions between a target equilibrium, with inflation fluctuating around the central bank's target and interest rates typically positive, and a low-inflation equilibrium, where the effective lower bound binds and de-anchored...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015548895

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Nonlinear estimation of a New Keynesian model with endogenous inflation de-anchoring

Hecker, Dominik; Wolters, Maik H. - 2025

Book / Working Paper

Inflation synchronization and shock transmission between the eurozone and the non-euro CEE Economies : a wavelet quantile VAR approach

Alqaralleh, Huthaifa; Canepa, Alessandra; Muchova, Eva - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015371761

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Inflation synchronization and shock transmission between the eurozone and the non-Euro CEE economies : a wavelet quantile var approach

Alqaralleh, Huthaifa; Canepa, Alessandra; Muchova, Eva - 2024

Book / Working Paper

Modelling and forecasting of exchange rate pairs using the Kalman filter

Date, Paresh; Maunthrooa, Janeeta - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015374069

Money growth and inflation : how to account for the differences in empirical results

Mandler, Martin; Scharnagl, Michael - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015374214

Dynamic linkages between economic policy uncertainty and external variables in Latin America : wavelet analysis

Marín-Rodríguez, Nini Johana; González-Ruiz, Juan David - 2025

Wavelet coherence analysis (WCA) examines the dynamic interactions between economic policy uncertainty (EPU) in Brazil, Chile, Colombia, and Mexico and key external variables, using monthly data from 2010 to 2022. The findings reveal the following: (i) medium-term co-movements (4-16 months)...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015210453

The implications of non-synchronous trading in G-7 financial markets

Dimitriou, Dimitrios; Kenourgios, Dimitris; Simos, Theodore - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015337909

Introducing shrinkage in heavy-tailed state space models to predict equity excess returns

Huber, Florian; Kastner, Gregor; Pfarrhofer, Michael - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015193830

Measuring natural rate of interest in Uzbekistan

Inkhomiddinov, Islomjon - 2025

The natural rate of interest, often interpreted as the equilibrium real interest rate, serves as a critical benchmark for evaluating the stance of monetary policy. This paper investigates the natural rate of interest in Uzbekistan using three econometric approaches: the HLW-type model1 , a...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015194423

Trend inflation and structural shocks

Fu, Bowen; Mendieta-Muñoz, Ivan - 2025

This paper studies the effects of key underlying macroeconomic variables on the trend inflation rate in the USA. To do so, we consider eight structural shocks that incorporate a broad set of information for the US economy and that can be regarded as the main structural determinants of the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015195132

Unravelling the impact of clean energy on the tourism sector of the stock market : Evidence from quantile granger causality and wavelet coherence analysis

Wang, Yiwei; Sun, Zhaoyang; Feng, Chao; Wu, Ran; Yan, Jiale - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015327484

Constructing a financial conditions index for Zambia

Musonda, Gabriel; Mwananshiku, Christabel; Wakumelo, Mataa - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015417917

Short-term forecasting of slovak GDP based on high-frequency data

Lőrincze, Péter - 2025

The paper compares two forecasts of Slovak GDP, the first with high-frequency data and the second without them. We utilize the last observation from the economic activity index acting as a short-term GDP forecast. We use data from 2000 to 2024 in weekly frequencies and have 27 variables related...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015418703

Agent-based models of the United States wealth distribution with Ensemble Kalman Filter

Oswald, Yannick; Suchak, Keiran; Malleson, Nick - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015463456

Revisiting the revenue-spending nexus in the United States : a time-frequency perspective

Wang, Yu - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464306

Exploring the dynamic linkages between carbon trading market and smart technology indices : a multi-dimensional analysis of China's case

Liu, Huifang; He, Qin; Cong, Ruiyuan; Ma, Shenglin; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464745

Real-time forecasting using mixed-frequency VARs with time-varying parameters

Heinrich, Markus; Reif, Magnus - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464761

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Real-time forecasting using mixed-frequency VARs with time-varying parameters

Heinrich, Markus; Reif, Magnus - 2020

Book / Working Paper

An incomplete multi-currency equilibrium model with heterogeneous time preferences and subjective beliefs

Mita, Daiya; Saito, Taiga; Takahashi, Akihiko - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015467232

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An incomplete multi-currency equilibrium model with heterogeneous time preferences and subjective beliefs

Mita, Daiya; Saito, Taiga; Takahashi, Akihiko - 2025

Book / Working Paper

Modeling exchange rate volatility in India in relation to COVID-19 and lockdown stringency : a wavelet coherence and quantile causality approach

Syed, Aamir Aijaz; Ullah, Assad; Grima, Simon; Kamal, … - 2025

The COVID-19 pandemic and the implementation of strict lockdown measures have significantly impacted various dimensions of the global economy. This study examines the impact of COVID-19 and lockdown stringency on exchange rate volatility in India using three core variables, i.e., COVID-19 cases,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015467540

Disentangling the time-frequency nexus of oil, uncertainties, and saudi equities : a wavelet local multiple correlation approach

Ben Hamida, Hela; Aloui, Chaker - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015472070

Times varying spectral coherence examination of consumer price indices in Pakistan : a wavelet transform

Basit, Abdul; Amiya Bhaumik; Niazi, Abdul Aziz Khan - 2025

Aim of this study is to examine the coherence of consumer price indices (CPI) variants in Pakistan using time series data. The techniques of data analysis are descriptive statistics and wavelet analysis. Plots of CPI variants show more frequent changes as compared to the base year / month from...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015448070

Data-driven predictive model for dynamic expected travel time estimation in rail freight networks : a case study

Kumar, Suraj; Sharma, Ayush; Kumar, Gaurav - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015451323

Income distribution and growth in France : a long-run time-frequency analysis

Pietropaoli, Alessandro - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015406499

Improving score-driven density forecasts with an application to implied volatility surface dynamics

Zou, Xia; Lin, Yicong; Lucas, André - 2025

Point forecasts of score-driven models have been shown to behave at par with those of state-space models under a variety of circumstances. We show, however, that density rather than point forecasts of plain-vanilla score-driven models substantially underperform their state-space counterparts in...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015408437

Measuring and explaining the CDS-bond basis term-structure shape and dynamics

Khanna, Yonas; Lucas, André; Seeger, Norman - 2025 - This version: May 26, 2025

The CDS-bond basis quantifies the difference in risk premia between credit default swap (CDS) and bond markets. It is hard to measure at the individual firm level given substantial missing-value problems (30%-100%) in either or both markets, even for highly liquid blue-chip financial firms. We...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015408438