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An omnibus noise filter

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  • Claudio Morana

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Abstract

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Suggested Citation

  • Claudio Morana, 2009. "An omnibus noise filter," Computational Statistics, Springer, vol. 24(3), pages 459-479, August.
  • Handle: RePEc:spr:compst:v:24:y:2009:i:3:p:459-479 DOI: 10.1007/s00180-008-0139-3
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    References listed on IDEAS

    as
    1. Robinson, Peter M. & Yajima, Yoshihiro, 2002. "Determination of cointegrating rank in fractional systems," Journal of Econometrics, Elsevier, vol. 106(2), pages 217-241, February.
    2. Kladroba, Andreas, 2005. "Flexible least squares estimation of state space models: an alternative to Kalman-filtering," IBES Diskussionsbeiträge 149, University of Duisburg-Essen, Institute of Business and Economic Studie (IBES).
    3. Kalaba, R. & Tesfatsion, L., 1988. "An Organizing Principle For Dynamic Estimation," Papers m8818, Southern California - Department of Economics.
    4. Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 95-124, February.
    5. D Marinucci & Peter M Robinson, 2001. "Semiparametric Fractional Cointegration Analysis," STICERD - Econometrics Paper Series 420, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    6. Beltratti, A. & Morana, C., 2006. "Breaks and persistency: macroeconomic causes of stock market volatility," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 151-177.
    7. Kalaba, Robert E. & Tesfatsion, Leigh S., 1990. "Flexible Least Squares for Approximately Linear Systems," Staff General Research Papers Archive 11190, Iowa State University, Department of Economics.
    8. Marinucci, D & Robinson, Peter M., 2001. "Semiparametric fractional cointegration analysis," LSE Research Online Documents on Economics 2269, London School of Economics and Political Science, LSE Library.
    9. Kalaba, Robert E. & Tesfatsion, Leigh S., 1989. "Time-Varying Linear Regression Via Flexible Least Squares," Staff General Research Papers Archive 11196, Iowa State University, Department of Economics.
    10. Marinucci, D. & Robinson, P. M., 2001. "Semiparametric fractional cointegration analysis," Journal of Econometrics, Elsevier, vol. 105(1), pages 225-247, November.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Signal–noise decomposition; Long memory; Structural breaks; Flexible least squares; Exchange rates volatility; C32;

    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

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