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Citations for "Statistical algorithms for models in state space using SsfPack 2.2"

by Neil Shephard & Jurgen Doornik & Siem Jan Koopman

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  1. Nahum, Ruth-Aïda, 2005. "Income Inequality and Growth: A Panel Study of Swedish Counties 1960-2000," Working Paper Series, Uppsala University, Department of Economics 2005:8, Uppsala University, Department of Economics.
  2. Assaf, Ata, 2006. "The stochastic volatility in mean model and automation: Evidence from TSE," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 46(2), pages 241-253, May.
  3. Carmen Broto & Esther Ruiz, 2002. "Estimation Methods For Stochastic Volatility Models: A Survey," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría ws025414, Universidad Carlos III, Departamento de Estadística y Econometría.
  4. Bernardi, Mauro & Della Corte, Giuseppe & Proietti, Tommaso, 2008. "Extracting the Cyclical Component in Hours Worked: a Bayesian Approach," MPRA Paper 8967, University Library of Munich, Germany.
  5. Siem Jan Koopman & Kai Ming Lee, 2005. "Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series," Tinbergen Institute Discussion Papers 05-081/4, Tinbergen Institute.
  6. Kleijn, R.H. & van Dijk, H.K., 2001. "A Bayesian analysis of the PPP puzzle using an unobserved components model," Econometric Institute Research Papers EI 2001-35, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  7. Peter Fuleky & Carl S. Bonham, 2011. "Forecasting Based on Common Trends in Mixed Frequency Samples," Working Papers, University of Hawaii at Manoa, Department of Economics 201110, University of Hawaii at Manoa, Department of Economics.
  8. Michel Beine & Charles S. Bos & Sébastien Laurent, 2007. "The Impact of Central Bank FX Interventions on Currency Components," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 5(1), pages 154-183.
  9. Siem Jan Koopman & Borus Jungbacker & Eugenie Hol, 2004. "Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements," Tinbergen Institute Discussion Papers 04-016/4, Tinbergen Institute.
  10. Dong Fu, 2007. "National, regional and metro-specific factors of the U.S. housing market," Working Papers, Federal Reserve Bank of Dallas 0707, Federal Reserve Bank of Dallas.
  11. João Valle e Azevedo & Siem Jan Koopman & António Rua, 2003. "Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area," Working Papers, Banco de Portugal, Economics and Research Department w200316, Banco de Portugal, Economics and Research Department.
  12. Omori, Yasuhiro & Chib, Siddhartha & Shephard, Neil & Nakajima, Jouchi, 2007. "Stochastic volatility with leverage: Fast and efficient likelihood inference," Journal of Econometrics, Elsevier, Elsevier, vol. 140(2), pages 425-449, October.
  13. Matthieu Lemoine & Florian Pelgrin, 2003. "Introduction aux modèles espace-état et au filtre de Kalman," Revue de l'OFCE, Presses de Sciences-Po, Presses de Sciences-Po, vol. 86(3), pages 203-229.
  14. Harvey, A.C. & Trimbur, T.M. & van Dijk, H.K., 2005. "Trends and cycles in economic time series: A Bayesian approach," Econometric Institute Research Papers EI 2005-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  15. Tommaso Proietti, 2005. "Forecasting and signal extraction with misspecified models," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 24(8), pages 539-556.
  16. Yoshihiro Hashiguchi, 2010. "Bayesian estimation of spatial externalities using regional production function: the case of China and Japan," Economics Bulletin, AccessEcon, vol. 30(1), pages 751-764.
  17. Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk, 2001. "Daily Exchange Rate Behaviour and Hedging of Currency Risk," Tinbergen Institute Discussion Papers 01-017/4, Tinbergen Institute.
  18. Pieter J. van der Sluis, 1998. "EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments," Tinbergen Institute Discussion Papers 98-021/4, Tinbergen Institute.
  19. Harvey, A., 2008. "Dynamic distributions and changing copulas," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 0839, Faculty of Economics, University of Cambridge.
  20. Siem Jan Koopman & André Lucas & Marius Ooms & Kees van Montfort & Victor van der Geest, 2007. "Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model," Tinbergen Institute Discussion Papers 07-027/4, Tinbergen Institute.
  21. Bellini, Tiziano & Riani, Marco, 2012. "Robust analysis of default intensity," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 56(11), pages 3276-3285.
  22. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2003. "Choosing the best volatility models: the model confidence set approach," Working Paper, Federal Reserve Bank of Atlanta 2003-28, Federal Reserve Bank of Atlanta.
  23. David Hendry & Neil Shephard & Jurgen Doornik, 2001. "Computationally-intensive Econometrics using a Distributed Matrix-programming Language," Economics Series Working Papers 2001-W22, University of Oxford, Department of Economics.
  24. Michael Artis & Massimiliano Marcellino & Tommaso Proietti, 2004. "Characterising the Business Cycle for Accession Countries," Working Papers 261, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  25. Neil Shephard & Ole E. Barndorff-Nielsen, 2003. "Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes," Economics Series Working Papers 2003-W12, University of Oxford, Department of Economics.
  26. Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima, 2004. "Stochastic Volatility with Leverage: Fast Likelihood Inference," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo CIRJE-F-297, CIRJE, Faculty of Economics, University of Tokyo.
  27. Riccardo Corradini, 2005. "An Empirical Analysis of Permanent Income Hypothesis Applied to Italy using State Space Models with non zero correlation between trend and cycle," Econometrics, EconWPA 0509009, EconWPA.
  28. Massmann, Michael & Mitchell, James, 2003. "Reconsidering the evidence: Are Eurozone business cycles converging," ZEI Working Papers B 05-2003, ZEI - Center for European Integration Studies, University of Bonn.
  29. Koopman, Siem Jan & Jungbacker, Borus & Hol, Eugenie, 2005. "Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements," Journal of Empirical Finance, Elsevier, Elsevier, vol. 12(3), pages 445-475, June.
  30. Bos, C.S. & Mahieu, R.J. & van Dijk, H.K., 1999. "Daily exchange rate behaviour and hedging of currency risk," Econometric Institute Research Papers EI 9936/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  31. Drew Creal & Siem Jan Koopman & Eric Zivot, 2010. "Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 25(4), pages 695-719.
  32. Nazifi, Fatemeh, 2013. "Modelling the price spread between EUA and CER carbon prices," Energy Policy, Elsevier, Elsevier, vol. 56(C), pages 434-445.
  33. María García Centeno & Román Mínguez Salido, 2009. "Estimation of Asymmetric Stochastic Volatility Models for Stock-Exchange Index Returns," International Advances in Economic Research, Springer, Springer, vol. 15(1), pages 71-87, February.
  34. Albert J. Menkveld & Siem Jan Koopman & Andr� Lucas, 2003. "Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence," Tinbergen Institute Discussion Papers 03-037/2, Tinbergen Institute, revised 13 Oct 2003.
  35. Oh, Kum Hwa & Zivot, Eric & Creal, Drew, 2008. "The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics," Journal of Econometrics, Elsevier, Elsevier, vol. 146(2), pages 207-219, October.
  36. Schulz, Rainer, 2002. "Real estate valuation according to standardized methods: An empirical analysis," SFB 373 Discussion Papers 2002,55, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  37. Michael Artis & Massimiliano Marcellino & Tommaso Proietti, 2003. "Dating the Euro Area Business Cycle," Working Papers 237, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  38. Charles S. Bos & Neil Shephard, 2004. "Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form," Tinbergen Institute Discussion Papers 04-015/4, Tinbergen Institute.
  39. Neil Shephard & Charles S. Bos, 2004. "Inference for adaptive time series models: stochastic volatility and conditionally Gaussian state space form," Economics Series Working Papers 2004-W02, University of Oxford, Department of Economics.
  40. Cesaroni, Tatiana & Pappalardo, Carmine, 2008. "Long Run and Short Run Dynamics in Italian Manufacturing Labour Productivity," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6795, C.E.P.R. Discussion Papers.
  41. De Rossi, Giuliano & Harvey, Andrew, 2009. "Quantiles, expectiles and splines," Journal of Econometrics, Elsevier, Elsevier, vol. 152(2), pages 179-185, October.
  42. Ruiz-Cárdenas, Ramiro & Krainski, Elias T. & Rue, Håvard, 2012. "Direct fitting of dynamic models using integrated nested Laplace approximations — INLA," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 56(6), pages 1808-1828.
  43. Lasse Bork, 2009. "Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach," CREATES Research Papers 2009-11, School of Economics and Management, University of Aarhus.
  44. Siem Jan Koopman & André Lucas & Pieter Klaassen, 2002. "Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation," Tinbergen Institute Discussion Papers 02-107/2, Tinbergen Institute.
  45. Siem Jan Koopman & Charles S. Bos, 2002. "Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series," Tinbergen Institute Discussion Papers 02-113/4, Tinbergen Institute.
  46. Sascha Mergner & Jan Bulla, 2008. "Time-varying beta risk of Pan-European industry portfolios: A comparison of alternative modeling techniques," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 14(8), pages 771-802.
  47. Mauro Bernardi & Ghislaine Gayraud & Lea Petrella, 2013. "Bayesian inference for CoVaR," Papers 1306.2834, arXiv.org, revised Nov 2013.
  48. Siem Jan Koopman & Kai Ming Lee, 2009. "Seasonality with trend and cycle interactions in unobserved components models," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 58(4), pages 427-448.
  49. A. C. Harvey & Siem Jan Koopman, 2000. "Computing Observation Weights for Signal Extraction and Filtering," Econometric Society World Congress 2000 Contributed Papers, Econometric Society 0888, Econometric Society.
  50. Clive G. Bowsher & Roland Meeks, 2008. "The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve," Economics Papers 2008-W05, Economics Group, Nuffield College, University of Oxford.
  51. Harvey, A.C. & Trimbur, T.M. & van Dijk, H.K., 2004. "Bayes estimates of the cyclical component in twentieth centruy US gross domestic product," Econometric Institute Research Papers EI 2004-45, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  52. Christian Brinch, 2012. "Efficient simulated maximum likelihood estimation through explicitly parameter dependent importance sampling," Computational Statistics, Springer, Springer, vol. 27(1), pages 13-28, March.
  53. Tommaso Proietti, 2007. "Band Spectral Estimation for Signal Extraction," CEIS Research Paper, Tor Vergata University, CEIS 104, Tor Vergata University, CEIS.
  54. Philippe Moës, 2012. "Multivariate models with dual cycles: implications for output gap and potential growth measurement," Empirical Economics, Springer, Springer, vol. 42(3), pages 791-818, June.
  55. Koopman, Siem Jan & van der Wel, Michel, 2013. "Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model," International Journal of Forecasting, Elsevier, Elsevier, vol. 29(4), pages 676-694.
  56. Sait Ozturk & Michel van der Wel, 2014. "Intraday Price Discovery in Fragmented Markets," Tinbergen Institute Discussion Papers 14-027/III, Tinbergen Institute.
  57. Drew Creal & Siem Jan Koopman & Eric Zivot, 2008. "The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model," Tinbergen Institute Discussion Papers 08-069/4, Tinbergen Institute.
  58. Dordonnat, V. & Koopman, S.J. & Ooms, M. & Dessertaine, A. & Collet, J., 2008. "An hourly periodic state space model for modelling French national electricity load," International Journal of Forecasting, Elsevier, Elsevier, vol. 24(4), pages 566-587.
  59. Francisco Cribari-Neto & Spyros Zarkos, 2003. "Econometric and Statistical Computing Using Ox," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 21(3), pages 277-295, June.
  60. Tommaso Proietti & Filippo Moauro, 2004. "Dynamic Factor Analysis with Nonlinear Temporal Aggregation Constraints," Econometrics, EconWPA 0401003, EconWPA.
  61. Wojciech Maliszewski, 2003. "Modeling Inflation in Georgia," IMF Working Papers 03/212, International Monetary Fund.
  62. Nikolaus Hautsch & Fuyu Yang, 2014. "Bayesian Stochastic Search for the Best Predictors: Nowcasting GDP Growth," University of East Anglia Applied and Financial Economics Working Paper Series, School of Economics, University of East Anglia, Norwich, UK. 056, School of Economics, University of East Anglia, Norwich, UK..
  63. Busetti, F. & Harvey, A., 2008. "When is a copula constant? A test for changing relationships," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 0841, Faculty of Economics, University of Cambridge.
  64. Charles S. Bos & Siem Jan Koopman & Marius Ooms, 2007. "Long memory modelling of inflation with stochastic variance and structural breaks," CREATES Research Papers 2007-44, School of Economics and Management, University of Aarhus.
  65. Gijsbert Suren & Guilherme Moura, 2012. "Heteroskedastic Dynamic Factor Models: A Monte Carlo Study," Economics Bulletin, AccessEcon, vol. 32(4), pages 2884-2898.
  66. Berument, M. Hakan & Yalcin, Yeliz & Yildirim, Julide, 2012. "Inflation and inflation uncertainty: A dynamic framework," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 391(20), pages 4816-4826.
  67. Harvey, Andrew C. & Delle Monache, Davide, 2009. "Computing the mean square error of unobserved components extracted by misspecified time series models," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 33(2), pages 283-295, February.
  68. B. Jungbacker & S.J. Koopman, 2005. "Model-based Measurement of Actual Volatility in High-Frequency Data," Tinbergen Institute Discussion Papers 05-002/4, Tinbergen Institute.
  69. Andrew C. Harvey, 2002. "Trends, Cycles, and Convergence," Central Banking, Analysis, and Economic Policies Book Series, Central Bank of Chile, in: Norman Loayza & Raimundo Soto & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series Editor) (ed.), Economic Growth: Sources, Trends, and Cycles, edition 1, volume 6, chapter 8, pages 221-250 Central Bank of Chile.
  70. Rob Luginbuhl & Siem Jan Koopman, 2003. "Convergence in European GDP Series," Tinbergen Institute Discussion Papers 03-031/4, Tinbergen Institute.
  71. Andrew Harvey & Siem Jan Koopman, 2000. "Signal extraction and the formulation of unobserved components models," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 3(1), pages 84-107.
  72. Jurgen A. Doornik & Neil Shephard & David F. Hendry, 2004. "Parallel Computation in Econometrics: A Simplified Approach," Economics Papers 2004-W16, Economics Group, Nuffield College, University of Oxford.
  73. Philip Kostov & John Lingard, 2005. "Seasonally specific model analysis of UK cereals prices," Econometrics, EconWPA 0507014, EconWPA.
  74. Michel van der Wel & Albert J. Menkveld & Asani Sarkar, 2009. "Are market makers uninformed and passive? Signing trades in the absence of quotes," Staff Reports, Federal Reserve Bank of New York 395, Federal Reserve Bank of New York.
  75. Claus Dethlefsen & Søren Lundbye-Christensen, . "Formulating State Space Models in R with Focus on Longitudinal Regression Models," Journal of Statistical Software, American Statistical Association, American Statistical Association, vol. 16(i01).
  76. Bos, C.S. & Mahieu, R.J. & van Dijk, H.K., 2000. "On the variation of hedging decisions in daily currency risk management," Econometric Institute Research Papers EI 2000-20/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  77. Peter Fuleky & Carl S. Bonham, 2013. "Forecasting with Mixed Frequency Samples: The Case of Common Trends," Working Papers, University of Hawaii at Manoa, Department of Economics 201305, University of Hawaii at Manoa, Department of Economics.
  78. Siem Jan Koopman & Marius Ooms & André Lucas & Kees van Montfort & Victor van der Geest, 2008. "Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, Netherlands Society for Statistics and Operations Research, vol. 62(1), pages 104-130.
  79. Haroon Mumtaz & Nitin Kumar, 2012. "An application of data-rich environment for policy analysis of the Indian economy," Joint Research Papers, Centre for Central Banking Studies, Bank of England 2, Centre for Central Banking Studies, Bank of England.
  80. Boriss Siliverstovs, 2012. "Are GDP Revisions Predictable? Evidence for Switzerland," EcoMod2012 4219, EcoMod.
  81. Drew Creal & Siem Jan Koopman & Eric Zivot, 2008. "The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model," Tinbergen Institute Discussion Papers 08-069/4, Tinbergen Institute.
  82. Proietti, Tommaso, 2010. "Seasonality, Forecast Extensions and Business Cycle Uncertainty," MPRA Paper 20868, University Library of Munich, Germany.
  83. McElroy, Tucker & Sutcliffe, Andrew, 2006. "An iterated parametric approach to nonstationary signal extraction," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 50(9), pages 2206-2231, May.
  84. Siem Jan Koopman & Marius Ooms, 2003. "Time Series Modelling of Daily Tax Revenues," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, Netherlands Society for Statistics and Operations Research, vol. 57(4), pages 439-469.
  85. Pollock, D. S. G., 2003. "Recursive estimation in econometrics," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 44(1-2), pages 37-75, October.
  86. Harm Jan Boonstra & Jan A. Van Den Brakel & Bart Buelens & Sabine Krieg & Marc Smeets, 2008. "Towards small area estimation at Statistics Netherlands," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1), pages 21-49.
  87. Proietti, Tommaso, 2003. "Forecasting the US unemployment rate," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 42(3), pages 451-476, March.
  88. De Rossi, Giuliano, 2004. "Kalman filtering of consistent forward rate curves: a tool to estimate and model dynamically the term structure," Journal of Empirical Finance, Elsevier, Elsevier, vol. 11(2), pages 277-308, March.
  89. Siem Jan Koopman & Soon Yip Wong, 2006. "Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series," Tinbergen Institute Discussion Papers 06-105/4, Tinbergen Institute.
  90. Rob Luginbuhl & Siem Jan Koopman, 2004. "Convergence in European GDP series: a multivariate common converging trend-cycle decomposition," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 19(5), pages 611-636.
  91. Toshitaka Sekine & Yuki Teranishi, 2008. "Inflation Targeting and Monetary Policy Activism," IMES Discussion Paper Series 08-E-13, Institute for Monetary and Economic Studies, Bank of Japan.
  92. Ole E. Barndorff-Nielsen & Shephard, 2002. "Econometric analysis of realized volatility and its use in estimating stochastic volatility models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(2), pages 253-280.
  93. DeRossi, G. & Harvey, A., 2006. "Time-Varying Quantiles," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 0649, Faculty of Economics, University of Cambridge.
  94. Stephen Pollock, 2002. "Recursive Estimation in Econometrics," Working Papers, Queen Mary, University of London, School of Economics and Finance 462, Queen Mary, University of London, School of Economics and Finance.
  95. Matteo M. Pelagatti, 2005. "Business cycle and sector cycles," Econometrics, EconWPA 0503006, EconWPA.
  96. Max Bruche, 2006. "Estimating Structural Models Of Corporate Bond Prices," Working Papers, CEMFI wp2006_0610, CEMFI.
  97. V. Dordonnat & S.J. Koopman & M. Ooms & A. Dessertaine & J. Collet, 2008. "An Hourly Periodic State Space Model for Modelling French National Electricity Load," Tinbergen Institute Discussion Papers 08-008/4, Tinbergen Institute.
  98. Rueda, Cristina & Rodríguez, Pilar, 2010. "State space models for estimating and forecasting fertility," International Journal of Forecasting, Elsevier, Elsevier, vol. 26(4), pages 712-724, October.
  99. Bos, Charles S. & Koopman, Siem Jan & Ooms, Marius, 2014. "Long memory with stochastic variance model: A recursive analysis for US inflation," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 76(C), pages 144-157.
  100. Doornik, Jurgen A. & Ooms, Marius, 2003. "Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 42(3), pages 333-348, March.
  101. Helena Beltran & Albert J. Menkveld, 2004. "Understanding limit order book depth: conditioning on trade informativeness," Econometric Society 2004 Latin American Meetings, Econometric Society 142, Econometric Society.
  102. [Reference to Proietti], Tommaso, 2000. "Comparing seasonal components for structural time series models," International Journal of Forecasting, Elsevier, Elsevier, vol. 16(2), pages 247-260.
  103. Renzo Orsi & Davide Raggi & Francesco Turino, 2014. "Size, Trend, and Policy Implications of the Underground Economy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 17(3), pages 417-436, July.
  104. Tucker S. McElroy & Thomas M. Trimbur, 2012. "Signal extraction for nonstationary multivariate time series with illustrations for trend inflation," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2012-45, Board of Governors of the Federal Reserve System (U.S.).
  105. Creal, D., 2009. "A survey of sequential Monte Carlo methods for economics and finance," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics 0018, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  106. Tommaso Proietti & Alberto Musso, 2012. "Growth accounting for the euro area," Empirical Economics, Springer, Springer, vol. 43(1), pages 219-244, August.
  107. Ooms, M., 2008. "Trends in Applied Econometrics Software Development 1985-2008, an analysis of Journal of Applied Econometrics research articles, software reviews, data and code," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics 0021, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  108. Proietti, Tommaso & Riani, Marco, 2007. "Transformations and Seasonal Adjustment: Analytic Solutions and Case Studies," MPRA Paper 7862, University Library of Munich, Germany.
  109. Charles S. Bos, 2008. "Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility," Tinbergen Institute Discussion Papers 08-011/4, Tinbergen Institute.
  110. Roberto S. Mariano & Yasutomo Murasawa, 2004. "Constructing a Coincident Index of Business Cycles without Assuming a One-factor Model," Working Papers, Singapore Management University, School of Economics 22-2004, Singapore Management University, School of Economics, revised Oct 2004.
  111. Proietti, Tommaso & Musso, Alberto, 2007. "Growth accounting for the euro area: a structural approach," Working Paper Series, European Central Bank 0804, European Central Bank.
  112. Tommaso PROIETTI, 2002. "Some Reflections on Trend-Cycle Decompositions with Correlated Components," Economics Working Papers, European University Institute ECO2002/23, European University Institute.
  113. Tommaso PROIETTI & Alberto MUSSO & Thomas WESTERMANN, 2002. "Estimating Potential Output and the Output Gap for the Euro Area: a Model-Based Production Function Approach," Economics Working Papers, European University Institute ECO2002/09, European University Institute.
  114. Siem Jan Koopman & Joao Valle e Azevedo, 2003. "Measuring Synchronisation and Convergence of Business Cycles," Tinbergen Institute Discussion Papers 03-052/4, Tinbergen Institute.
  115. Garnier, Julien & Wilhelmsen, Bjørn-Roger, 2005. "The natural real interest rate and the output gap in the euro area: a joint estimation," Working Paper Series, European Central Bank 0546, European Central Bank.
  116. Siem Jan Koopman & Marius Ooms, 2001. "Time Series Modelling of Daily Tax Revenues," Tinbergen Institute Discussion Papers 01-032/4, Tinbergen Institute.
  117. Zietz, Joachim A. & Penn, David A., 2008. "An Unobserved Components Forecasting Model of Non-Farm Employment for the Nashville MSA," Journal of Regional Analysis and Policy, Mid-Continent Regional Science Association, Mid-Continent Regional Science Association, vol. 38(1).
  118. Jaromír Baxa & Roman Horváth & Bořek Vašíček, 2010. "How Does Monetary Policy Change? Evidence on Inflation Targeting Countries," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies 2010/26, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Oct 2010.
  119. F. Pancotto & G. Pignataro & D. Raggi, 2014. "Higher order beliefs and the dynamics of exchange rates," Working Papers wp957, Dipartimento Scienze Economiche, Universita' di Bologna.
  120. Raggi, Davide & Bordignon, Silvano, 2012. "Long memory and nonlinearities in realized volatility: A Markov switching approach," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 56(11), pages 3730-3742.
  121. C.S. Bos & S.J. Koopman & M. Ooms, 2007. "Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks," Tinbergen Institute Discussion Papers 07-099/4, Tinbergen Institute.
  122. Wojciech Maliszewski, 2010. "Vietnam," IMF Working Papers 10/149, International Monetary Fund.
  123. Kum Hwa Oh & Eric Zivot & Drew Creal, 2006. "The Relationship between the Beveridge-Nelson Decomposition andUnobserved Component Models with Correlated Shocks," Working Papers, University of Washington, Department of Economics UWEC-2006-16-FC, University of Washington, Department of Economics.
  124. Fabio Busetti, 2001. "The use of preliminary data in econometric forecasting: an application with the Bank of Italy Quarterly Model," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 437, Bank of Italy, Economic Research and International Relations Area.
  125. Swinkels, L.A.P. & Sluis, P.J. van der, 2001. "Return-Based Style Analysis with Time-Varying Exposures," Discussion Paper, Tilburg University, Center for Economic Research 2001-96, Tilburg University, Center for Economic Research.
  126. Norden, Simon van & Tian, Jing & Jacobs, Jan & Dungey, Mardi, 2012. "On trend-cycle decomposition and data revision," Research Report 12009-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  127. Siem Jan Koopman & Charles S. Bos, 2002. "Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series," Tinbergen Institute Discussion Papers 02-113/4, Tinbergen Institute.
  128. Song, Haiyan & Li, Gang & Witt, Stephen F. & Athanasopoulos, George, 2011. "Forecasting tourist arrivals using time-varying parameter structural time series models," International Journal of Forecasting, Elsevier, Elsevier, vol. 27(3), pages 855-869, July.
  129. Fildes, Robert & Wei, Yingqi & Ismail, Suzilah, 2011. "Evaluating the forecasting performance of econometric models of air passenger traffic flows using multiple error measures," International Journal of Forecasting, Elsevier, Elsevier, vol. 27(3), pages 902-922, July.
  130. Dordonnat, Virginie & Koopman, Siem Jan & Ooms, Marius, 2012. "Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 56(11), pages 3134-3152.
  131. Siem Jan Koopman & Marius Ooms & Irma Hindrayanto, 2006. "Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment," Tinbergen Institute Discussion Papers 06-101/4, Tinbergen Institute.
  132. Hendershott, Terrence & Menkveld, Albert J., 2010. "Price pressures," CFS Working Paper Series 2010/14, Center for Financial Studies (CFS).
  133. repec:ebl:ecbull:v:3:y:2008:i:15:p:1-11 is not listed on IDEAS
  134. Michel Beine & Charles S. Bos & Sebastian Laurent, 2005. "The Impact of Central Bank FX Interventions on Currency Components," Tinbergen Institute Discussion Papers 05-103/4, Tinbergen Institute.
  135. Marc Francke, 2010. "Repeat Sales Index for Thin Markets," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 41(1), pages 24-52, July.
  136. Max Bruche, 2005. "Estimating structural bond pricing models via simulated maximum likelihood," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 24647, London School of Economics and Political Science, LSE Library.
  137. Siem Jan Koopman & Eugenie Hol Uspensky, 2000. "The Stochastic Volatility in Mean Model," Tinbergen Institute Discussion Papers 00-024/4, Tinbergen Institute.
  138. Siem Jan Koopman & Eugenie Hol Uspensky, 2000. "The Stochastic Volatility in Mean Model," Tinbergen Institute Discussion Papers 00-024/4, Tinbergen Institute.
  139. Tommaso Proietti, 2009. "On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 28(1-3), pages 186-208.
  140. Roberto Iannaccone & Edoardo Otranto, 2003. "Signal Extraction in Continuous Time and the Generalized Hodrick- Prescott Filter," Econometrics, EconWPA 0311002, EconWPA.
  141. Hindrayanto, Irma & Koopman, Siem Jan & Ooms, Marius, 2010. "Exact maximum likelihood estimation for non-stationary periodic time series models," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 54(11), pages 2641-2654, November.
  142. Richard Kleijn & Herman K. van Dijk, 2001. "A Bayesian Analysis of the PPP Puzzle using an Unobserved Components Model," Tinbergen Institute Discussion Papers 01-105/4, Tinbergen Institute.
  143. Proietti, Tommaso, 2005. "New algorithms for dating the business cycle," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 49(2), pages 477-498, April.
  144. Teles, Vladimir Kuhl & Cardoso, Eliana Anastácia, 2010. "A brief history of Brazil's growth," Textos para discussão 241, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  145. Siem Jan Koopman & Andr� Lucas & Bernd Schwaab, 2008. "Forecasting Cross-Sections of Frailty-Correlated Default," Tinbergen Institute Discussion Papers 08-029/4, Tinbergen Institute.
  146. Rob Luginbuhl & Siem Jan Koopman, 2003. "Convergence in European GDP Series," Tinbergen Institute Discussion Papers 03-031/4, Tinbergen Institute.
  147. Charles S. Bos, 2008. "Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility," Tinbergen Institute Discussion Papers 08-011/4, Tinbergen Institute.
  148. Christian N. Brinch, 2008. "Simulated Maximum Likelihood using Tilted Importance Sampling," Discussion Papers, Research Department of Statistics Norway 540, Research Department of Statistics Norway.
  149. Albert J. Menkveld & Siem Jan Koopman & Andr� Lucas, 2003. "Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence," Tinbergen Institute Discussion Papers 03-037/2, Tinbergen Institute, revised 13 Oct 2003.
  150. Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk, 2001. "On the Variation of Hedging Decisions in Daily Currency Risk Management," Tinbergen Institute Discussion Papers 01-018/4, Tinbergen Institute.
  151. Eugenie Hol & Siem Jan Koopman, 2000. "Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility," Tinbergen Institute Discussion Papers 00-104/4, Tinbergen Institute.
  152. Fernando Tusell, . "Kalman Filtering in R," Journal of Statistical Software, American Statistical Association, American Statistical Association, vol. 39(i02).
  153. Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima, 2004. "Stochastic Volatility with Leverage: Fast Likelihood Inference (Revised in April 2006, subsequently published in "Journal of Econometrics", 140, 425-449, 2007. )," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo CARF-F-011, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  154. repec:spo:wpecon:info:hdl:2441/2129 is not listed on IDEAS
  155. Busettti, F. & Harvey, A., 2007. "Tests of time-invariance," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 0701, Faculty of Economics, University of Cambridge.
  156. Anyfantakis, Costas & Caporale, Guglielmo M. & Pittis, Nikitas, 2004. "Parameter Instability and Forecasting Performance. A Monte Carlo Study," Economics Series, Institute for Advanced Studies 160, Institute for Advanced Studies.
  157. Trimbur, Thomas M., 2010. "Stochastic level shifts and outliers and the dynamics of oil price movements," International Journal of Forecasting, Elsevier, Elsevier, vol. 26(1), pages 162-179, January.
  158. Charles S. Bos & Pawel Janus & Siem Jan Koopman, 2009. "Spot Variance Path Estimation and its Application to High Frequency Jump Testing," Tinbergen Institute Discussion Papers 09-110/4, Tinbergen Institute.
  159. Philip Kostov & John Lingard, 2004. "Recurrence analysis techniques for non-stationary and non-linear data," Microeconomics, EconWPA 0409003, EconWPA.
  160. Chortareas, Georgios & Jiang, Ying & Nankervis, John. C., 2011. "Forecasting exchange rate volatility using high-frequency data: Is the euro different?," International Journal of Forecasting, Elsevier, Elsevier, vol. 27(4), pages 1089-1107, October.
  161. Juergen Bierbaumer-Polly, 2012. "Regional and Sectoral Business Cycles - Key Features for the Austrian economy," EcoMod2012 4074, EcoMod.