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Forecasting, Structural Time Series Models and the Kalman Filter

Citations

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Cited by:

  1. Shi, Mengze & Yang, Botao & Chiang, Jeongwen, 2018. "Dyad Calling Behavior: Asymmetric Power and Tie Strength Dynamics," Journal of Interactive Marketing, Elsevier, vol. 42(C), pages 63-79.
  2. repec:onb:oenbwp:y::i:20:b:1 is not listed on IDEAS
  3. Snyder Ralph D & Forbes Catherine S, 2003. "Reconstructing the Kalman Filter for Stationary and Non Stationary Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(2), pages 1-20, July.
  4. Alexander Dokumentov & Rob J. Hyndman, 2015. "STR: A Seasonal-Trend Decomposition Procedure Based on Regression," Monash Econometrics and Business Statistics Working Papers 13/15, Monash University, Department of Econometrics and Business Statistics.
  5. Ralph D Snyder, 2005. "A Pedant's Approach to Exponential Smoothing," Monash Econometrics and Business Statistics Working Papers 5/05, Monash University, Department of Econometrics and Business Statistics.
  6. Olga Korotkikh, 2020. "A Multi-Country BVAR Model for the External Sector," Russian Journal of Money and Finance, Bank of Russia, vol. 79(4), pages 98-112, December.
  7. Syntetos, A.A. & Teunter, R.H., 2014. "On the calculation of safety stocks," Research Report 14003-OPERA, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  8. Hans Dewachter & Leonardo Iania & Marco Lyrio, 2014. "Information In The Yield Curve: A Macro‐Finance Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(1), pages 42-64, January.
  9. Bekiros, Stelios & Cardani, Roberta & Paccagnini, Alessia & Villa, Stefania, 2016. "Dealing with financial instability under a DSGE modeling approach with banking intermediation: A predictability analysis versus TVP-VARs," Journal of Financial Stability, Elsevier, vol. 26(C), pages 216-227.
  10. Aryanpur, V. & Ghahremani, M. & Mamipour, S. & Fattahi, M. & Ó Gallachóir, B. & Bazilian, M.D. & Glynn, J., 2022. "Ex-post analysis of energy subsidy removal through integrated energy systems modelling," Renewable and Sustainable Energy Reviews, Elsevier, vol. 158(C).
  11. Ee Leng Lau & G. K. Randolph Tan & Shahidur Rahman, 2005. "Assessing Pre-Crisis Fundamentals In Selected Asian Stock Markets," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 50(02), pages 175-196.
  12. Ard den Reijer, 2006. "The Dutch business cycle: which indicators should we monitor?," DNB Working Papers 100, Netherlands Central Bank, Research Department.
  13. Tobias Hartl & Roland Weigand, 2018. "Multivariate Fractional Components Analysis," Papers 1812.09149, arXiv.org, revised Jan 2019.
  14. Cabos Karen & Funke Michael & Siegfried Nikolaus A., 2001. "Some Thoughts on Monetary Targeting vs. Inflation Targeting," German Economic Review, De Gruyter, vol. 2(3), pages 219-238, August.
  15. Dieter Gerdesmeier & Francesco Paolo Mongelli & Barbara Roffia, 2007. "The Eurosystem, the U.S. Federal Reserve, and the Bank of Japan: Similarities and Differences," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(7), pages 1785-1819, October.
  16. Abdulnasser Hatemi-J, 2002. "Is the Government's intertemporal budget constraint fulfilled in Sweden? An application of the Kalman filter," Applied Economics Letters, Taylor & Francis Journals, vol. 9(7), pages 433-439.
  17. Avanzi, Benjamin & Taylor, Greg & Vu, Phuong Anh & Wong, Bernard, 2020. "A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 50-71.
  18. Shang, Han Lin & Hyndman, Rob.J., 2011. "Nonparametric time series forecasting with dynamic updating," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(7), pages 1310-1324.
  19. George‐Marios Angeletos & Fabrice Collard & Harris Dellas, 2018. "Quantifying Confidence," Econometrica, Econometric Society, vol. 86(5), pages 1689-1726, September.
  20. Markus Leippold & Hanlin Yang, 2023. "Mixed‐frequency predictive regressions with parameter learning," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 1955-1972, December.
  21. Prilly Oktoviany & Robert Knobloch & Ralf Korn, 2021. "A machine learning-based price state prediction model for agricultural commodities using external factors," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 1063-1085, December.
  22. Obryan Poyser, 2017. "Exploring the determinants of Bitcoin's price: an application of Bayesian Structural Time Series," Papers 1706.01437, arXiv.org.
  23. Yusuf Soner Baskaya & Tugrul Gurgur & Fethi Ogunc, 2008. "Islenmis Gida Fiyatlarini Belirleyen Faktorler," Working Papers 0809, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  24. Cassola, N. & Luis, J.B., 2001. "A Two-Factor Model of the German Term Structure of Interest Rates," Papers 46, Quebec a Montreal - Recherche en gestion.
  25. Ahmed Belhadjayed & Grégoire Loeper & Frédéric Abergel, 2016. "Forecasting Trends With Asset Prices," Post-Print hal-01512431, HAL.
  26. Yossi Aviv, 2003. "A Time-Series Framework for Supply-Chain Inventory Management," Operations Research, INFORMS, vol. 51(2), pages 210-227, April.
  27. Takahiro Yabe & Yunchang Zhang & Satish Ukkusuri, 2020. "Quantifying the Economic Impact of Extreme Shocks on Businesses using Human Mobility Data: a Bayesian Causal Inference Approach," Papers 2004.11121, arXiv.org.
  28. Donato Ceci & Orest Prifti & Andrea Silvestrini, 2024. "Nowcasting Italian GDP growth: a Factor MIDAS approach," Temi di discussione (Economic working papers) 1446, Bank of Italy, Economic Research and International Relations Area.
  29. Caporale, Tony, 1998. "The impact of monetary regime changes: Some exchange rate evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 35(1), pages 85-94, March.
  30. J.M. Groeneveld & K.G. Koedijk & C.J.M. Kool, 1997. "Money, prices and the transition to EMU," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 50(203), pages 481-504.
  31. Cristea, R. G., 2020. "Can Alternative Data Improve the Accuracy of Dynamic Factor Model Nowcasts?," Cambridge Working Papers in Economics 20108, Faculty of Economics, University of Cambridge.
  32. Lavan Mahadeva & Juan Carlos Parra Alvarez, 2008. "Testing a DSGE model and its partner database," Borradores de Economia 479, Banco de la Republica de Colombia.
  33. Porras-Arena, M. Sylvina & Martín-Román, Ángel L., 2023. "The heterogeneity of Okun's law: A metaregression analysis," Economic Modelling, Elsevier, vol. 128(C).
  34. Chen, Qi-an & Li, Huashi, 2023. "How does exchange rate elasticity of aggregate consumption adjust currency risk price in the stock market?," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 590-610.
  35. Chew Lian Chua & Tim Robinson, 2018. "Why Has Australian Wages Growth Been So Low? A Phillips Curve Perspective," The Economic Record, The Economic Society of Australia, vol. 94(S1), pages 11-32, June.
  36. Dewachter, Hans & Iania, Leonardo, 2011. "An Extended Macro-Finance Model with Financial Factors," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(6), pages 1893-1916, December.
  37. Karol Binkowski & Peilun He & Nino Kordzakhia & Pavel Shevchenko, 2021. "On the Parameter Estimation in the Schwartz-Smiths Two-Factor Model," Papers 2108.01881, arXiv.org.
  38. S. M. Masrur Ahmed, 2023. "Sizing Strategies for Algorithmic Trading in Volatile Markets: A Study of Backtesting and Risk Mitigation Analysis," Papers 2309.09094, arXiv.org, revised Sep 2023.
  39. Robert A. Hill & Paulo M. M. Rodrigues, 2022. "Forgetting approaches to improve forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(7), pages 1356-1371, November.
  40. Clements, Kenneth W. & Fry, Renée, 2008. "Commodity currencies and currency commodities," Resources Policy, Elsevier, vol. 33(2), pages 55-73, June.
  41. Philipp Heimberger & Jakob Kapeller, 2017. "The performativity of potential output: pro-cyclicality and path dependency in coordinating European fiscal policies," Review of International Political Economy, Taylor & Francis Journals, vol. 24(5), pages 904-928, September.
  42. Azumah Karim & Ananda Omotukoh Kube & Bashiru Imoro Ibn Saeed, 2020. "Modeling of Monthly Meteorological Time Series," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 9(4), pages 1-8.
  43. Ronaldo Dias & Nancy Garcia & Adriano Zambom, 2012. "Monte Carlo algorithm for trajectory optimization based on Markovian readings," Computational Optimization and Applications, Springer, vol. 51(1), pages 305-321, January.
  44. Razzu, Giovanni & Singleton, Carl, 2016. "Gender and the business cycle: An analysis of labour markets in the US and UK," Journal of Macroeconomics, Elsevier, vol. 47(PB), pages 131-146.
  45. Martha Misas & Enrique López, 1999. "El producto potencial en Colombia: una estimación bajo var estructural," Coyuntura Económica, Fedesarrollo, September.
  46. Abdullah Al-Awadhi & Ahmad Bash & Fouad Jamaani, 2021. "Ramadan Effect: A Structural Time-Series Test," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 12(1), pages 260-269, January.
  47. Giulio Bottazzi & Francesco Cordoni & Giulia Livieri & Stefano Marmi, 2023. "Uncertainty in firm valuation and a cross-sectional misvaluation measure," Annals of Finance, Springer, vol. 19(1), pages 63-93, March.
  48. Yongqing Xiong & Shufeng Qin, 2021. "Differences in the effects of China’s new energy vehicle industry policies on market growth from the perspective of policy mix," Energy & Environment, , vol. 32(3), pages 542-561, May.
  49. Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2014. "On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 14-085/III, Tinbergen Institute, revised 04 Sep 2014.
  50. Škare, Marinko & Mošnja-Škare, Lorena, 2019. "Economic policy implications of the Gibson Law in the Netherlands (1800–2012)," Journal of Policy Modeling, Elsevier, vol. 41(5), pages 926-942.
  51. Cartea, Álvaro & Karyampas, Dimitrios, 2011. "Volatility and covariation of financial assets: A high-frequency analysis," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3319-3334.
  52. D.S. Prasada Rao & Alicia Rambaldi & Howard Doran, 2008. "A Method to Construct World Tables of Purchasing Power Parities and Real Incomes Based on Multiple Benchmarks and Auxiliary Information: Analytical and Empirical Results," CEPA Working Papers Series WP052008, School of Economics, University of Queensland, Australia.
  53. Carl Chiarella & Chih-Ying Hsiao & Willi Semmler, 2007. "Intertemporal asset allocation when the underlying factors are unobservable," Computational Economics, Springer;Society for Computational Economics, vol. 29(3), pages 383-418, May.
  54. Jean-Pierre Allegret & Alain Sand-Zantman, 2009. "Modeling the Impact of Real and Financial Shocks on Mercosur: The Role of the Exchange Rate Regime," Open Economies Review, Springer, vol. 20(3), pages 359-384, July.
  55. Chang, Lei & Gan, Xiaojun & Mohsin, Muhammad, 2022. "Studying corporate liquidity and regulatory responses for economic recovery in COVID-19 crises," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 211-225.
  56. Rob Luginbuhl, 2020. "Estimation of the Financial Cycle with a Rank-Reduced Multivariate State-Space Model," CPB Discussion Paper 409, CPB Netherlands Bureau for Economic Policy Analysis.
  57. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein & Jean Helwege, 2015. "Modeling Credit Contagion via the Updating of Fragile Beliefs," The Review of Financial Studies, Society for Financial Studies, vol. 28(7), pages 1960-2008.
  58. Andrés Gonzalez & Franz Hamann, 2011. "Lack of Credibility, Inflation Persistence and Disinflation in Colombia," Revista Desarrollo y Sociedad, Universidad de los Andes,Facultad de Economía, CEDE, May.
  59. Lemke, Wolfgang & Vladu, Andreea, 2015. "A Shadow-Rate Term Structure Model for the Euro Area," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113159, Verein für Socialpolitik / German Economic Association.
  60. Michael D. Bauer & Glenn D. Rudebusch, 2020. "Interest Rates under Falling Stars," American Economic Review, American Economic Association, vol. 110(5), pages 1316-1354, May.
  61. Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2023. "We modeled long memory with just one lag!," Journal of Econometrics, Elsevier, vol. 236(1).
  62. Esteban González, María Victoria & Orbe Mandaluniz, Susan, 2006. "Nonparametric estimation betas in the Market Model," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  63. P. Geoffrey Allen & Robert Fildes, 2005. "Levels, Differences and ECMs – Principles for Improved Econometric Forecasting," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 881-904, December.
  64. Shao, Chengwu & Bhar, Ramaprasad & Colwell, David B., 2015. "A multi-factor model with time-varying and seasonal risk premiums for the natural gas market," Energy Economics, Elsevier, vol. 50(C), pages 207-214.
  65. Daniel Zantedeschi & Eleanor McDonnell Feit & Eric T. Bradlow, 2017. "Measuring Multichannel Advertising Response," Management Science, INFORMS, vol. 63(8), pages 2706-2728, August.
  66. Gonzalez, Pilar & Moral, Paz, 1995. "An analysis of the international tourism demand in Spain," International Journal of Forecasting, Elsevier, vol. 11(2), pages 233-251, June.
  67. Kilic Celik, Sinem & Kose, Ayhan M. & Ohnsorge, Franziska & Ruch, Franz, 2023. "Potential Growth: A Global Database," MPRA Paper 116902, University Library of Munich, Germany.
  68. David Bolder & Shudan Liu, 2007. "Examining Simple Joint Macroeconomic and Term-Structure Models: A Practitioner's Perspective," Staff Working Papers 07-49, Bank of Canada.
  69. Ortas, E. & Salvador, M. & Moneva, J.M., 2015. "Improved beta modeling and forecasting: An unobserved component approach with conditional heteroscedastic disturbances," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 27-51.
  70. Cubadda, Gianluca & Hecq, Alain, 2003. "The Role of Common Cyclical Features for Coincident and Leading Indexes Building," Economics & Statistics Discussion Papers esdp03002, University of Molise, Department of Economics.
  71. Tobias Hartl & Rolf Tschernig & Enzo Weber, 2020. "Fractional trends in unobserved components models," Papers 2005.03988, arXiv.org, revised May 2020.
  72. Canova, Fabio & Ferroni, Filippo, 2020. "A hitchhiker guide to empirical macro models," CEPR Discussion Papers 15446, C.E.P.R. Discussion Papers.
  73. Ms. Concha Verdugo Yepes & Mr. Peter L. Pedroni & Xingwei Hu, 2015. "Crime and the Economy in Mexican States: Heterogeneous Panel Estimates (1993-2012)," IMF Working Papers 2015/121, International Monetary Fund.
  74. Gerdesmeier, Dieter & Roffia, Barbara, 2004. "Taylor rules for the euro area: the issue of real-time data," Discussion Paper Series 1: Economic Studies 2004,37, Deutsche Bundesbank.
  75. Yüksel, Ebru & Metin-Ozcan, Kivilcim & Hatipoglu, Ozan, 2013. "A survey on time-varying parameter Taylor rule: A model modified with interest rate pass-through," Economic Systems, Elsevier, vol. 37(1), pages 122-134.
  76. J. M. Binner & R. K. Bissoondeeal & A. W. Mullineux, 2005. "A composite leading indicator of the inflation cycle for the Euro area," Applied Economics, Taylor & Francis Journals, vol. 37(11), pages 1257-1266.
  77. Gianluca Cubadda, 2007. "A Reduced Rank Regression Approach to Coincident and Leading Indexes Building," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(2), pages 271-292, April.
  78. Jean-Pierre Allegret & Alain Sand-Zantman, 2007. "Transmission des chocs et mécanismes d'ajustement dans le Mercosur," Revue de l'OFCE, Presses de Sciences-Po, vol. 101(2), pages 355-392.
  79. Taylor, James W., 2007. "Forecasting daily supermarket sales using exponentially weighted quantile regression," European Journal of Operational Research, Elsevier, vol. 178(1), pages 154-167, April.
  80. Goldstone, Jack A. (Голдстоун, Джек) & Shulgin, Sergey (Шульгин, Сергей) & Arkhangelskiy, Vladimir (Архангельский, Владимир) & Korotaev, Andrey (Коротаев, Андрей) & Zinkina, Yulia (Зинкина, Юлия) & No, 2015. "Political Demography of Russia. Politics and State Government [Политическая Демография России. Политика И Государственное Управление]," Published Papers mn44, Russian Presidential Academy of National Economy and Public Administration.
  81. Bernardi, Mauro & Catania, Leopoldo, 2018. "Portfolio optimisation under flexible dynamic dependence modelling," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 1-18.
  82. Peilun He & Karol Binkowski & Nino Kordzakhia & Pavel Shevchenko, 2021. "On Modelling of Crude Oil Futures in a Bivariate State-Space Framework," Papers 2108.01886, arXiv.org.
  83. Yuo-Hsien Shiau & Su-Fen Yang & Rishan Adha & Syamsiyatul Muzayyanah, 2022. "Modeling Industrial Energy Demand in Relation to Subsector Manufacturing Output and Climate Change: Artificial Neural Network Insights," Sustainability, MDPI, vol. 14(5), pages 1-18, March.
  84. Botshekan, Mahmoud & Lucas, André, 2017. "Long-Term versus Short-Term Contingencies in Asset Allocation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(5), pages 2277-2303, October.
  85. George Athanasopoulos & Rob J. Hyndman, 2006. "Modelling and forecasting Australian domestic tourism," Monash Econometrics and Business Statistics Working Papers 19/06, Monash University, Department of Econometrics and Business Statistics.
  86. Egon Smeral, 2019. "Seasonal forecasting performance considering varying income elasticities in tourism demand," Tourism Economics, , vol. 25(3), pages 355-374, May.
  87. J. Marcelo Ochoa C., 2009. "Monetary Policy Efficiency in Chile were there any Improvements?," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 12(1), pages 39-49, April.
  88. Cuellar, Cecilia Y. & Moreno, Jorge O., 2022. "Employment, wages, and the gender gap in Mexico: Evidence of three decades of the urban labor market," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 3(2).
  89. Chen, Fei & Diebold, Francis X. & Schorfheide, Frank, 2013. "A Markov-switching multifractal inter-trade duration model, with application to US equities," Journal of Econometrics, Elsevier, vol. 177(2), pages 320-342.
  90. Duan, Jin-Chuan & Simonato, Jean-Guy, 1999. "Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter," Review of Quantitative Finance and Accounting, Springer, vol. 13(2), pages 111-135, September.
  91. repec:kap:iaecre:v:15:y:2009:i:1:p:102-114 is not listed on IDEAS
  92. Jesús Fernández-Villaverde & Pablo A. Guerrón-Quintana, 2021. "Estimating DSGE Models: Recent Advances and Future Challenges," Annual Review of Economics, Annual Reviews, vol. 13(1), pages 229-252, August.
  93. Chevallier, Julien, 2011. "A model of carbon price interactions with macroeconomic and energy dynamics," Energy Economics, Elsevier, vol. 33(6), pages 1295-1312.
  94. Altug, Sumru & Çakmaklı, Cem, 2016. "Forecasting inflation using survey expectations and target inflation: Evidence for Brazil and Turkey," International Journal of Forecasting, Elsevier, vol. 32(1), pages 138-153.
  95. Hanan Naser, 2015. "Estimating and forecasting Bahrain quarterly GDP growth using simple regression and factor-based methods," Empirical Economics, Springer, vol. 49(2), pages 449-479, September.
  96. Vegard H�ghaug Larsen & Leif Anders Thorsrud, 2018. "Business cycle narratives," Working Papers No 6/2018, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  97. Philippe Goulet Coulombe, 2022. "A Neural Phillips Curve and a Deep Output Gap," Working Papers 22-01, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
  98. Krist'of N'emeth & D'aniel Hadh'azi, 2023. "GDP nowcasting with artificial neural networks: How much does long-term memory matter?," Papers 2304.05805, arXiv.org, revised Feb 2024.
  99. Snyder, Ralph D. & Koehler, Anne B. & Ord, J. Keith, 2002. "Forecasting for inventory control with exponential smoothing," International Journal of Forecasting, Elsevier, vol. 18(1), pages 5-18.
  100. Ortas, Eduardo & Moneva, José M. & Salvador, Manuel, 2012. "Does socially responsible investment equity indexes in emerging markets pay off? Evidence from Brazil," Emerging Markets Review, Elsevier, vol. 13(4), pages 581-597.
  101. D. S. Prasada Rao & Alicia Rambaldi & Howard Doran, 2010. "Extrapolation Of Purchasing Power Parities Using Multiple Benchmarks And Auxiliary Information: A New Approach," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 56(s1), pages 59-98, June.
  102. J. Ignacio Conde-Ruiz & Manu García & Luis A. Puch & Jesus Ruiz, 2023. "Reforming Dual Labor Markets: “Empirical” or “Contractual” Temporary Rates?," Studies on the Spanish Economy eee2023-36, FEDEA.
  103. A. Di Pino & M.G. Campolo & E. Otranto, 2018. "Reducing Bias in a Matching Estimation of Endogenous Treatment Effect," Working Paper CRENoS 201805, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  104. Pavel Vidal & Gilberto Ramírez & Lya Paola Sierra, 2018. "¿Por qué el Valle del Cauca ha crecido más que el promedio nacional? Un análisis regional de los ciclos y los choques económicos," Working Papers 33, Faculty of Economics and Management, Pontificia Universidad Javeriana Cali.
  105. Stefanos Bennett & Jase Clarkson, 2022. "Time Series Prediction under Distribution Shift using Differentiable Forgetting," Papers 2207.11486, arXiv.org.
  106. Hui ‘Fox’ Ling & Douglas B. Stone, 2016. "Time-varying forecasts by variational approximation of sequential Bayesian inference," Quantitative Finance, Taylor & Francis Journals, vol. 16(1), pages 43-67, January.
  107. Shaun de Jager & Michael Johnston & Rudi Steinbach, 2015. "A Revised Quarterly Projection Model for South Africa," Working Papers 6839, South African Reserve Bank.
  108. Léo Parent, 2022. "The EWMA Heston model," Post-Print hal-04431111, HAL.
  109. Doran, Howard E. & Rambaldi, Alicia N., 1997. "Applying linear time-varying constraints to econometric models: With an application to demand systems," Journal of Econometrics, Elsevier, vol. 79(1), pages 83-95, July.
  110. David Bolder, 2001. "Affine Term-Structure Models: Theory and Implementation," Staff Working Papers 01-15, Bank of Canada.
  111. Faust, Jon & Rogers, John H. & Wang, Shing-Yi B. & Wright, Jonathan H., 2007. "The high-frequency response of exchange rates and interest rates to macroeconomic announcements," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1051-1068, May.
  112. Andrew Lee-Poy, 2018. "Characterizing the Canadian Financial Cycle with Frequency Filtering Approaches," Staff Analytical Notes 2018-34, Bank of Canada.
  113. repec:ptu:bdpart:a201006 is not listed on IDEAS
  114. Si, Xiao-Sheng & Chen, Mao-Yin & Wang, Wenbin & Hu, Chang-Hua & Zhou, Dong-Hua, 2013. "Specifying measurement errors for required lifetime estimation performance," European Journal of Operational Research, Elsevier, vol. 231(3), pages 631-644.
  115. Abadie, Luis María & Chamorro Gómez, José Manuel, 2007. "Long Term Dynamics in CO2 Allowance Prices and Carbon Capture Investments," IKERLANAK 6418, Universidad del País Vasco - Departamento de Fundamentos del Análisis Económico I.
  116. Robert Dixon & G. C. Lim & John Freebairn, 2014. "Regional Beveridge Curves: A Latent Variable Approach," Regional Studies, Taylor & Francis Journals, vol. 48(2), pages 254-269, February.
  117. Trond Husby & Hans Visser, 2021. "Short- to medium-run forecasting of mobility with dynamic linear models," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 45(28), pages 871-902.
  118. Sumru Altug & Cem Cakmakli, 2014. "Inflation Targeting and Inflation Expectations: Evidence for Brazil and Turkey," Koç University-TUSIAD Economic Research Forum Working Papers 1413, Koc University-TUSIAD Economic Research Forum.
  119. Paolo Guarda & Alban Moura, 2019. "Measuring real and financial cycles in Luxembourg: An unobserved components approach," BCL working papers 126, Central Bank of Luxembourg.
  120. Ortas, Eduardo & Moneva, José M., 2013. "The Clean Techs equity indexes at stake: Risk and return dynamics analysis," Energy, Elsevier, vol. 57(C), pages 259-269.
  121. Deicy J. Cristiano-Botia & Manuel Dario Hernandez-Bejarano & Mario A. Ramos-Veloza, 2021. "Labor Market Indicator for Colombia (LMI)," Borradores de Economia 1152, Banco de la Republica de Colombia.
  122. Jun Yu & Renate Meyer, 2006. "Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 361-384.
  123. Feldhütter, Peter & Lando, David, 2008. "Decomposing swap spreads," Journal of Financial Economics, Elsevier, vol. 88(2), pages 375-405, May.
  124. Brentnall, Adam R. & Crowder, Martin J. & Hand, David J., 2010. "Predictive-sequential forecasting system development for cash machine stocking," International Journal of Forecasting, Elsevier, vol. 26(4), pages 764-776, October.
  125. Benth, Fred Espen & Koekebakker, Steen, 2008. "Stochastic modeling of financial electricity contracts," Energy Economics, Elsevier, vol. 30(3), pages 1116-1157, May.
  126. Chu, Chih-Yuan & Durango-Cohen, Pablo L., 2008. "Estimation of dynamic performance models for transportation infrastructure using panel data," Transportation Research Part B: Methodological, Elsevier, vol. 42(1), pages 57-81, January.
  127. Peilun He & Karol Binkowski & Nino Kordzakhia & Pavel Shevchenko, 2021. "On Modelling of Crude Oil Futures in a Bivariate State-Space Framework," Springer Books, in: Marco Corazza & Manfred Gilli & Cira Perna & Claudio Pizzi & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 273-278, Springer.
  128. Moïse Sidiropoulos & Jamel Trabelsi, 2001. "Les chocs monétaires et la persistance du taux de chômage," Économie et Prévision, Programme National Persée, vol. 148(2), pages 41-47.
  129. Aldubyan, Mohammad & Gasim, Anwar, 2021. "Energy price reform in Saudi Arabia: Modeling the economic and environmental impacts and understanding the demand response," Energy Policy, Elsevier, vol. 148(PB).
  130. Faust, Jon & Gupta, Abhishek, 2010. "Posterior Predictive Analysis for Evaluating DSGE Models," MPRA Paper 26721, University Library of Munich, Germany.
  131. Patricia Mokhtarian & Francisco Samaniego & Robert Shumway & Neil Willits, 2002. "Revisiting the notion of induced traffic through a matched-pairs study," Transportation, Springer, vol. 29(2), pages 193-220, May.
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