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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. Julien Garnier & Bjørn-Roger Wilhelmsen, 2005. "The natural real interest rate and the output gap in the euro area: A joint estimation," Working Paper 2005/14, Norges Bank.
  2. Clive G. Bowsher & Roland Meeks, 2008. "The dynamics of economics functions: modelling and forecasting the yield curve," Working Papers 0804, Federal Reserve Bank of Dallas.
  3. Tucker S. McElroy & Thomas M. Trimbur, 2012. "Signal extraction for nonstationary multivariate time series with illustrations for trend inflation," Finance and Economics Discussion Series 2012-45, Board of Governors of the Federal Reserve System (U.S.).
  4. Assaf, Ata, 2006. "The stochastic volatility in mean model and automation: Evidence from TSE," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(2), pages 241-253, May.
  5. repec:dgr:kubcen:200196 is not listed on IDEAS
  6. 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.
  7. Dong Fu, 2007. "National, regional and metro-specific factors of the U.S. housing market," Working Papers 0707, Federal Reserve Bank of Dallas.
  8. repec:dgr:uvatin:20020113 is not listed on IDEAS
  9. repec:dgr:uvatin:20070099 is not listed on IDEAS
  10. Harvey, A., 2008. "Dynamic distributions and changing copulas," Cambridge Working Papers in Economics 0839, Faculty of Economics, University of Cambridge.
  11. repec:dgr:uvatin:2000024 is not listed on IDEAS
  12. Peter Hansen & Asger Lunde & James M. Nason, 2003. "Choosing the Best Volatility Models:The Model Confidence Set Approach," Working Papers 2003-05, Brown University, Department of Economics.
  13. David Hendry & Neil Shephard & Jurgen Doornik, 2003. "Parallel Computation In Econometrics: A Simplified Approach," Economics Series Working Papers 2004-W16, University of Oxford, Department of Economics.
  14. Jaromir Baxa & Roman Horvath & Borek Vasicek, 2010. "How Does Monetary Policy Change? Evidence on Inflation Targeting Countries," Working Papers 2010/02, Czech National Bank, Research Department.
  15. 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.
  16. Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima, 2004. "Stochastic volatility with leverage: fast likelihood inference," Economics Papers 2004-W19, Economics Group, Nuffield College, University of Oxford.
  17. 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., vol. 19(5), pages 611-636.
  18. Swinkels, L.A.P. & van der Sluis, P.J. & Verbeek, M.J.C.M., 2003. "Market Timing : A Decomposition of Mutual Fund Returns," Discussion Paper 2003-95, Tilburg University, Center for Economic Research.
  19. 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.
  20. Roberto S. Mariano & Yasutomo Murasawa, 2004. "Constructing a Coincident Index of Business Cycles without Assuming a One-factor Model," Working Papers 22-2004, Singapore Management University, School of Economics, revised Oct 2004.
  21. repec:dgr:uvatin:20080011 is not listed on IDEAS
  22. Proietti, Tommaso & Riani, Marco, 2007. "Transformations and Seasonal Adjustment: Analytic Solutions and Case Studies," MPRA Paper 7862, University Library of Munich, Germany.
  23. Philippe Moës, 2012. "Multivariate models with dual cycles: implications for output gap and potential growth measurement," Empirical Economics, Springer, vol. 42(3), pages 791-818, June.
  24. repec:dgr:uvatin:20000104 is not listed on IDEAS
  25. repec:dgr:uvatin:2008011 is not listed on IDEAS
  26. Claus Dethlefsen & Søren Lundbye-Christensen, . "Formulating State Space Models in R with Focus on Longitudinal Regression Models," Journal of Statistical Software, American Statistical Association, vol. 16(i01).
  27. 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, vol. 14(8), pages 771-802.
  28. Djuranovik, Leslie, 2014. "The Indonesian macroeconomy and the yield curve: A dynamic latent factor approach," Journal of Asian Economics, Elsevier, vol. 34(C), pages 1-15.
  29. Christian N. Brinch, 2008. "Simulated Maximum Likelihood using Tilted Importance Sampling," Discussion Papers 540, Research Department of Statistics Norway.
  30. Tommaso Proietti, 2009. "On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 186-208.
  31. 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.
  32. repec:dgr:uvatin:2007027 is not listed on IDEAS
  33. 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.
  34. 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.
  35. Tommaso Proietti, 2012. "Seasonality, Forecast Extensions And Business Cycle Uncertainty," Journal of Economic Surveys, Wiley Blackwell, vol. 26(4), pages 555-569, 09.
  36. Max Bruche, 2005. "Estimating structural bond pricing models via simulated maximum likelihood," LSE Research Online Documents on Economics 24647, London School of Economics and Political Science, LSE Library.
  37. 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.
  38. Michael Artis & Massimiliano Marcellino & Tommaso Proietti, 2004. "Characterising the Business Cycle for Accession Countries," Econometrics 0403006, EconWPA.
  39. repec:dgr:uvatin:20080028 is not listed on IDEAS
  40. Marius Ooms & Bj�rn de Groot & Siem Jan Koopman, 1999. "Time-Series Modelling of Daily Tax Revenues," Computing in Economics and Finance 1999 312, Society for Computational Economics.
  41. 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.
  42. Andrew Harvey & Siem Jan Koopman, 2000. "Signal extraction and the formulation of unobserved components models," Econometrics Journal, Royal Economic Society, vol. 3(1), pages 84-107.
  43. Peter Fuleky & Carl S. Bonham, 2011. "Forecasting Based on Common Trends in Mixed Frequency Samples," Working Papers 201110, University of Hawaii at Manoa, Department of Economics.
  44. Hendershott, Terrence & Menkveld, Albert J., 2010. "Price pressures," CFS Working Paper Series 2010/14, Center for Financial Studies (CFS).
  45. DeRossi, G. & Harvey, A., 2007. "Quantiles, Expectiles and Splines," Cambridge Working Papers in Economics 0660, Faculty of Economics, University of Cambridge.
  46. repec:dgr:uvatin:20060105 is not listed on IDEAS
  47. Tommaso Proietti & Filippo Moauro, 2004. "Dynamic Factor Analysis with Nonlinear Temporal Aggregation Constraints," Econometrics 0401003, EconWPA.
  48. repec:dgr:uvatin:2001032 is not listed on IDEAS
  49. repec:dgr:uvatin:2003031 is not listed on IDEAS
  50. Charles Bos & Neil Shephard, 2006. "Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 219-244.
  51. repec:dgr:uvatin:20050002 is not listed on IDEAS
  52. Charles S. Bos & Ronald J. Mahieu & Herman K. Van Dijk, 2000. "Daily exchange rate behaviour and hedging of currency risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 671-696.
  53. Berument, M. Hakan & Yalcin, Yeliz & Yildirim, Julide, 2012. "Inflation and inflation uncertainty: A dynamic framework," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4816-4826.
  54. 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.
  55. Hindrayanto, Irma & Koopman, Siem Jan & Ooms, Marius, 2010. "Exact maximum likelihood estimation for non-stationary periodic time series models," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2641-2654, November.
  56. A. C. Harvey & Siem Jan Koopman, 2000. "Computing Observation Weights for Signal Extraction and Filtering," Econometric Society World Congress 2000 Contributed Papers 0888, Econometric Society.
  57. 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, vol. 56(11), pages 3134-3152.
  58. repec:dgr:uvatin:20050081 is not listed on IDEAS
  59. 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," Computing in Economics and Finance 2005 28, Society for Computational Economics.
  60. Tommaso Proietti, 2005. "Forecasting and signal extraction with misspecified models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(8), pages 539-556.
  61. 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.
  62. repec:dgr:uvatin:20030069 is not listed on IDEAS
  63. Clive Bowsher & Roland Meeks, 2006. "High Dimensional Yield Curves: Models and Forecasting," Economics Papers 2006-W12, Economics Group, Nuffield College, University of Oxford.
  64. repec:dgr:uvatin:20080008 is not listed on IDEAS
  65. Max Bruche, 2006. "Estimating Structural Models Of Corporate Bond Prices," Working Papers wp2006_0610, CEMFI.
  66. 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, vol. 29(4), pages 676-694.
  67. R. Orsi & D. Raggi & F. Turino, 2012. "Size, Trend, and Policy Implications of the Underground Economy," Working Papers wp818, Dipartimento Scienze Economiche, Universita' di Bologna.
  68. 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.
  69. Tommaso Proietti, 2007. "Band Spectral Estimation for Signal Extraction," CEIS Research Paper 104, Tor Vergata University, CEIS.
  70. Philip Kostov & John Lingard, 2005. "Seasonally specific model analysis of UK cereals prices," Econometrics 0507014, EconWPA.
  71. repec:dgr:uvatin:20080069 is not listed on IDEAS
  72. Marc Francke, 2010. "Repeat Sales Index for Thin Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 41(1), pages 24-52, July.
  73. Raggi, Davide & Bordignon, Silvano, 2012. "Long memory and nonlinearities in realized volatility: A Markov switching approach," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3730-3742.
  74. Zirogiannis, Nikolaos & Tripodis, Yorghos, 2014. "Dynamic Factor Analysis for Short Panels: Estimating Performance Trajectories for Water Utilities," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 170592, Agricultural and Applied Economics Association.
  75. repec:dgr:uvatin:2003037 is not listed on IDEAS
  76. Barndorff-Nielsen, Ole E. & Shephard, Neil, 2006. "Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 217-252.
  77. Tommaso PROIETTI, 2002. "Some Reflections on Trend-Cycle Decompositions with Correlated Components," Economics Working Papers ECO2002/23, European University Institute.
  78. Stephen Pollock, 2002. "Recursive Estimation in Econometrics," Working Papers 462, Queen Mary University of London, School of Economics and Finance.
  79. 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, vol. 27(3), pages 902-922, July.
  80. repec:dgr:uvatin:2004015 is not listed on IDEAS
  81. 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).
  82. repec:dgr:uvatin:20010018 is not listed on IDEAS
  83. Bellini, Tiziano & Riani, Marco, 2012. "Robust analysis of default intensity," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3276-3285.
  84. Laurens Swinkels, Pieter Jelle VanDerSluis, 2001. "Return-based Style Analysis with Time-varying Exposures," Computing in Economics and Finance 2001 125, Society for Computational Economics.
  85. DeRossi, G. & Harvey, A., 2006. "Time-Varying Quantiles," Cambridge Working Papers in Economics 0649, Faculty of Economics, University of Cambridge.
  86. Francisco Cribari-Neto & Spyros Zarkos, 2003. "Econometric and Statistical Computing Using Ox," Computational Economics, Society for Computational Economics, vol. 21(3), pages 277-295, June.
  87. Busettti, F. & Harvey, A., 2007. "Tests of time-invariance," Cambridge Working Papers in Economics 0701, Faculty of Economics, University of Cambridge.
  88. 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, vol. 27(4), pages 1089-1107, October.
  89. Kum Hwa Oh & Eric Zivot & Drew Creal, 2006. "The Relationship between the Beveridge-Nelson Decomposition andUnobserved Component Models with Correlated Shocks," Working Papers UWEC-2006-16-FC, University of Washington, Department of Economics.
  90. 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, vol. 0(1), pages 21-49.
  91. Pollock, D. S. G., 2003. "Recursive estimation in econometrics," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 37-75, October.
  92. Fabio Busetti & Andrew Harvey, 2011. "When is a Copula Constant? A Test for Changing Relationships," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 9(1), pages 106-131, Winter.
  93. Juergen Bierbaumer-Polly, 2012. "Regional and Sectoral Business Cycles - Key Features for the Austrian economy," EcoMod2012 4074, EcoMod.
  94. Jurgen Doornik & Marius Ooms, 2001. "Computational Aspects of Maximum Likelihood Estimation of Autoregressive Fractionally Integrated Moving Average Models," Economics Series Working Papers 2001-W27, University of Oxford, Department of Economics.
  95. Matthieu Lemoine & Florian Pelgrin, 2003. "Introduction aux modèles espace état et au filtre de Kalman," Sciences Po publications info:hdl:2441/2129, Sciences Po.
  96. Carmen Broto & Esther Ruiz, 2002. "Estimation Methods For Stochastic Volatility Models: A Survey," Statistics and Econometrics Working Papers ws025414, Universidad Carlos III, Departamento de Estadística y Econometría.
  97. 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 CARF-F-011, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  98. repec:spo:wpecon:info:hdl:2441/2129 is not listed on IDEAS
  99. 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, vol. 146(2), pages 207-219, October.
  100. Tatiana Cesaroni & Carmine Pappalardo, 2008. "Long run and short run dynamics in italian manufacturing labour productivity," Economics Bulletin, AccessEcon, vol. 3(15), pages 1-11.
  101. repec:dgr:uvatin:20050103 is not listed on IDEAS
  102. Drew Creal & Siem Jan Koopman & Eric Zivot, 2008. "Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter," Working Papers UWEC-2008-15-FC, University of Washington, Department of Economics.
  103. Helena Beltran & Albert J. Menkveld, 2004. "Understanding limit order book depth: conditioning on trade informativeness," Econometric Society 2004 Latin American Meetings 142, Econometric Society.
  104. repec:dgr:uvatin:2008008 is not listed on IDEAS
  105. repec:dgr:uvatin:2001018 is not listed on IDEAS
  106. Boriss Siliverstovs, 2011. "Are GDP Revisions Predictable? Evidence for Switzerland," KOF Working papers 11-281, KOF Swiss Economic Institute, ETH Zurich.
  107. 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, vol. 24(4), pages 566-587.
  108. Stephen Pollock, 2001. "Improved Frequency-selective Filters," Working Papers 449, Queen Mary University of London, School of Economics and Finance.
  109. Renzo Orsi & Davide Raggi & Francesco Turino, 2013. "Online Appendix to "Size, Trend, and Policy Implications of the Underground Economy"," Technical Appendices 12-217, Review of Economic Dynamics.
  110. 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 056, School of Economics, University of East Anglia, Norwich, UK..
  111. Matteo M. Pelagatti, 2005. "Business cycle and sector cycles," Econometrics 0503006, EconWPA.
  112. McElroy, Tucker & Sutcliffe, Andrew, 2006. "An iterated parametric approach to nonstationary signal extraction," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2206-2231, May.
  113. 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).
  114. 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.
  115. 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, vol. 38(1).
  116. 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 ECO2002/09, European University Institute.
  117. repec:dgr:uvatin:20090046 is not listed on IDEAS
  118. repec:dgr:uvatin:20000024 is not listed on IDEAS
  119. repec:dgr:uvatin:2002113 is not listed on IDEAS
  120. repec:dgr:uvatin:20040016 is not listed on IDEAS
  121. 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, vol. 11(2), pages 277-308, March.
  122. Gijsbert Suren & Guilherme Moura, 2012. "Heteroskedastic Dynamic Factor Models: A Monte Carlo Study," Economics Bulletin, AccessEcon, vol. 32(4), pages 2884-2898.
  123. 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 0021, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  124. Roberto Iannaccone & Edoardo Otranto, 2003. "Signal Extraction in Continuous Time and the Generalized Hodrick- Prescott Filter," Econometrics 0311002, EconWPA.
  125. Proietti, Tommaso, 2005. "New algorithms for dating the business cycle," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 477-498, April.
  126. repec:dgr:uvatin:2006101 is not listed on IDEAS
  127. Proietti, Tommaso & Musso, Alberto, 2007. "Growth accounting for the euro area: a structural approach," Working Paper Series 0804, European Central Bank.
  128. repec:dgr:uvatin:2005103 is not listed on IDEAS
  129. repec:dgr:uvatin:2009110 is not listed on IDEAS
  130. 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.
  131. 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, vol. 27(3), pages 855-869, July.
  132. repec:dgr:uvatin:20040015 is not listed on IDEAS
  133. 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, vol. 33(2), pages 283-295, February.
  134. repec:dgr:uvatin:20020107 is not listed on IDEAS
  135. Nazifi, Fatemeh, 2013. "Modelling the price spread between EUA and CER carbon prices," Energy Policy, Elsevier, vol. 56(C), pages 434-445.
  136. repec:dgr:uvatin:19980021 is not listed on IDEAS
  137. Anyfantakis, Costas & Caporale, Guglielmo M. & Pittis, Nikitas, 2004. "Parameter Instability and Forecasting Performance. A Monte Carlo Study," Economics Series 160, Institute for Advanced Studies.
  138. Fernando Tusell, . "Kalman Filtering in R," Journal of Statistical Software, American Statistical Association, vol. 39(i02).
  139. repec:dgr:uvatin:20030037 is not listed on IDEAS
  140. Hendershott, Terrence & Menkveld, Albert J., 2014. "Price pressures," Journal of Financial Economics, Elsevier, vol. 114(3), pages 405-423.
  141. Mauro Bernardi & Ghislaine Gayraud & Lea Petrella, 2013. "Bayesian inference for CoVaR," Papers 1306.2834, arXiv.org, revised Nov 2013.
  142. repec:dgr:uvatin:2004016 is not listed on IDEAS
  143. repec:dgr:uvatin:20070027 is not listed on IDEAS
  144. Nahum, Ruth-Aïda, 2005. "Income Inequality and Growth: a Panel Study of Swedish Counties 1960-2000," Arbetsrapport 2005:3, Institute for Futures Studies.
  145. Christian Brinch, 2012. "Efficient simulated maximum likelihood estimation through explicitly parameter dependent importance sampling," Computational Statistics, Springer, vol. 27(1), pages 13-28, March.
  146. repec:dgr:uvatin:20140027 is not listed on IDEAS
  147. Proietti, Tommaso, 2003. "Forecasting the US unemployment rate," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 451-476, March.
  148. Andrew Harvey, 2002. "Trends, Cycles and Convergence," Working Papers Central Bank of Chile 155, Central Bank of Chile.
  149. Philip Kostov & John Lingard, 2004. "Recurrence analysis techniques for non-stationary and non-linear data," Microeconomics 0409003, EconWPA.
  150. 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, vol. 76(C), pages 144-157.
  151. 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.
  152. María García Centeno & Román Mínguez Salido, 2009. "Estimation of Asymmetric Stochastic Volatility Models for Stock-Exchange Index Returns," International Advances in Economic Research, International Atlantic Economic Society, vol. 15(1), pages 71-87, February.
  153. repec:dgr:uvatin:20030052 is not listed on IDEAS
  154. repec:dgr:uvatin:2008069 is not listed on IDEAS
  155. Peter Fuleky & Carl, 2013. "Forecasting with Mixed Frequency Samples: The Case of Common Trends," Working Papers 2013-5, University of Hawaii Economic Research Organization, University of Hawaii at Manoa.
  156. repec:dgr:uvatin:20010017 is not listed on IDEAS
  157. repec:dgr:uvatin:20030031 is not listed on IDEAS
  158. Omori, Yasuhiro & Chib, Siddhartha & Shephard, Neil & Nakajima, Jouchi, 2007. "Stochastic volatility with leverage: Fast and efficient likelihood inference," Journal of Econometrics, Elsevier, vol. 140(2), pages 425-449, October.
  159. [Reference to Proietti], Tommaso, 2000. "Comparing seasonal components for structural time series models," International Journal of Forecasting, Elsevier, vol. 16(2), pages 247-260.
  160. Trimbur, Thomas M., 2010. "Stochastic level shifts and outliers and the dynamics of oil price movements," International Journal of Forecasting, Elsevier, vol. 26(1), pages 162-179, January.
  161. Haroon Mumtaz & Nitin Kumar, 2012. "An application of data-rich environment for policy analysis of the Indian economy," Joint Research Papers 2, Centre for Central Banking Studies, Bank of England.
  162. repec:dgr:uvatin:2001017 is not listed on IDEAS
  163. repec:dgr:uvatin:20010032 is not listed on IDEAS
  164. Wojciech Maliszewski, 2010. "Vietnam: Bayesian Estimation of Output Gap," IMF Working Papers 10/149, International Monetary Fund.
  165. Creal, D., 2009. "A survey of sequential Monte Carlo methods for economics and finance," Serie Research Memoranda 0018, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  166. 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, vol. 56(6), pages 1808-1828.
  167. repec:dgr:uvatin:2001105 is not listed on IDEAS
  168. Wojciech Maliszewski, 2003. "Modeling Inflation in Georgia," IMF Working Papers 03/212, International Monetary Fund.
  169. repec:dgr:uvatin:2007099 is not listed on IDEAS
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.