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Multivariate discount weighted regression and local level models

  • Triantafyllopoulos, Kostas

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File URL: http://www.sciencedirect.com/science/article/B6V8V-4GR8M1M-1/2/b96fc00189f69eacf672a355e20eea7a
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Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 50 (2006)
Issue (Month): 12 (August)
Pages: 3702-3720

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Handle: RePEc:eee:csdana:v:50:y:2006:i:12:p:3702-3720
Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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  1. Durbin, James & Koopman, Siem Jan, 2001. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, number 9780198523543, March.
  2. Panas, E., 2001. "Long memory and chaotic models of prices on the London Metal Exchange," Resources Policy, Elsevier, vol. 27(4), pages 235-246, December.
  3. Clinton Watkins & Michael McAleer, 2004. "Econometric modelling of non-ferrous metal prices," Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 651-701, December.
  4. Moore, Michael J & Cullen, Ursula, 1995. "Speculative Efficiency on the London Metal Exchange," The Manchester School of Economic & Social Studies, University of Manchester, vol. 63(3), pages 235-56, September.
  5. Salvador, Manuel & Gargallo, Pilar, 2004. "Automatic monitoring and intervention in multivariate dynamic linear models," Computational Statistics & Data Analysis, Elsevier, vol. 47(3), pages 401-431, October.
  6. Gilbert, Christopher L, 1997. "Manipulation of Metals Futures: Lessons from Sumitomo," CEPR Discussion Papers 1537, C.E.P.R. Discussion Papers.
  7. Triantafyllopoulos, Kostas & Pikoulas, John, 2002. "Multivariate Bayesian Regression Applied to the Problem of Network Security," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(8), pages 579-94, December.
  8. Machak, Joseph A & Spivey, W Allen & Wrobleski, William J, 1983. "Analyzing Permanent and Transient Influences in Multiple Time Series Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(1), pages 57-65, January.
  9. A. C. Harvey, 1986. "Analysis and Generalisation of a Multivariate Exponential Smoothing Model," Management Science, INFORMS, vol. 32(3), pages 374-380, March.
  10. Agbeyegbe, Terence D, 1992. "Common Stochastic Trends: Evidence from the London Metal Exchange," Bulletin of Economic Research, Wiley Blackwell, vol. 44(2), pages 141-51, April.
  11. Phillip G. Enns & Joseph A. Machak & W. Allen Spivey & William J. Wrobleski, 1982. "Forecasting Applications of an Adaptive Multiple Exponential Smoothing Model," Management Science, INFORMS, vol. 28(9), pages 1035-1044, September.
  12. Franco, Glaura C & Souza, Reinaldo C, 2002. "A Comparison of Methods for Bootstrapping in the Local Level Model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(1), pages 27-38, January.
  13. Heaney, Richard, 2002. "Does knowledge of the cost of carry model improve commodity futures price forecasting ability?: A case study using the London Metal Exchange lead contract," International Journal of Forecasting, Elsevier, vol. 18(1), pages 45-65.
  14. McKenzie, M. & Michell, H. & Brooks, R.D. & Faff, R.W., 1998. "Power ARCH Modelling of Commodity Futures Data on the London Metal Exchange," Papers 98-3, Melbourne - Centre in Finance.
  15. Sephton, Peter S. & Cochrane, Donald K., 1990. "A note on the efficiency of the London metal exchange," Economics Letters, Elsevier, vol. 33(4), pages 341-345, August.
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