Hyper‐spherical and elliptical stochastic cycles
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DOI: 10.1111/j.1467-9892.2010.00655.x
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- Luati, Alessandra & Proietti, Tommaso, 2009. "Hyper-spherical and Elliptical Stochastic Cycles," MPRA Paper 15169, University Library of Munich, Germany.
References listed on IDEAS
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Citations
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Cited by:
- Tommaso Proietti & Alessandra Luati, 2013.
"Maximum likelihood estimation of time series models: the Kalman filter and beyond,"
Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 15, pages 334-362,
Edward Elgar Publishing.
- Luati, Alessandra & Proietti, Tommaso, 2012. "Maximum likelihood estimation of time series models: the Kalman filter and beyond," Working Papers 2012_02, University of Sydney Business School, Discipline of Business Analytics.
- Tommaso, Proietti & Alessandra, Luati, 2012. "Maximum likelihood estimation of time series models: the Kalman filter and beyond," MPRA Paper 39600, University Library of Munich, Germany.
- Giacomo Sbrana & Andrea Silvestrini, 2012.
"Temporal aggregation of cyclical models with business cycle applications,"
Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 21(1), pages 93-107, March.
- Giacomo Sbrana & Andrea Silvestrini, 2012. "Temporal aggregation of cyclical models with business cycle applications," Post-Print hal-00809247, HAL.
- Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013. "On the Stratonovich – Kalman - Bucy filtering algorithm application for accurate characterization of financial time series with use of state-space model by central banks," MPRA Paper 50235, University Library of Munich, Germany.
- Tommaso Proietti & Alessandra Luati, 2013.
"The Exponential Model for the Spectrum of a Time Series: Extensions and Applications,"
CREATES Research Papers
2013-34, Department of Economics and Business Economics, Aarhus University.
- Tommaso Proietti & Alessandra Luati, 2013. "The Exponential Model for the Spectrum of a Time Series: Extensions and Applications," CEIS Research Paper 272, Tor Vergata University, CEIS, revised 19 Apr 2013.
- Proietti, Tommaso & Luati, Alessandra, 2013. "The Exponential Model for the Spectrum of a Time Series: Extensions and Applications," MPRA Paper 45280, University Library of Munich, Germany.
- Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
- Alessandra Luati & Tommaso Proietti & Marco Reale, 2012.
"The Variance Profile,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 107(498), pages 607-621, June.
- Luati, Alessandra & Proietti, Tommaso & Reale, Marco, 2011. "The Variance Profile," MPRA Paper 30378, University Library of Munich, Germany.
- Tommaso Proietti & Alessandra Luati, 2013. "Generalised Linear Spectral Models," CEIS Research Paper 290, Tor Vergata University, CEIS, revised 03 Oct 2013.
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More about this item
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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