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Forecasting structural time series models and the kalman filter
3 references·6 citing·35 second hop
Forecasting structural time series models and the kalman filter (1992)Forecasting structural time series models…The accuracy of extrapolation (time series) methods: Results of a forecasting competition (1982)The accuracy of extrapolation…Bayesian Forecasting (1976)Bayesian ForecastingA Bayesian Approach to Short-term Forecasting (1971)A Bayesian Approach to Short-…A Bayesian Approach to Developing a Stochastic Mortality Model for China (2019)A Bayesian Approach to Develo…Exploring Mispricing in the Term Structure of CDS Spreads (2018)Exploring Mispricing in the T…Time-Varying Transition Probability Matrix Estimation and Its Application to Brand Share Analysis (2017)Time-Varying Transition Proba…ASIAN FINANCIAL LINKAGE: MACRO‐FINANCE DISSONANCE (2012)ASIAN FINANCIAL LINKAGE: MACR…A Multivariate Band-Pass Filter for Economic Time Series (2010)A Multivariate Band-Pass Filt…Market quality changes in the London Stock Market (2008)Market quality changes in the…Postwar U.S. Business Cycles: An Empirical Investigation (1997)Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series (1999)The Band Pass Filter (1999)Stock return variances (1986)Trading Mechanisms and Stock Returns: An Empirical Investigation (1987)Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Market microstructure of the Pink Sheets (2009)Effects of changes in stock index compositions: A literature survey (2017)Price limit changes and market quality in the Taiwan Stock Exchange (2019)Exponential Smoothing with an Adaptive Response Rate (1967)Box-Jenkins Seasonal Forecasting: Problems in a Case-Study (1973)Model Building and the Analysis of Spatial Pattern in Human Geography (1975)Analysis of Variance, Design, and Regression: Applied Statistical Methods (1996)The Combination of Forecasts (1969)Time Series Analysis: Forecasting and Control (1977)Exponential smoothing: The state of the art (1985)Combining forecasts: A review and annotated bibliography (1990)Error measures for generalizing about forecasting methods: Empirical comparisons (1992)Forecasting methods and applications (1993)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Regional and global integration of Asian stock markets (2019)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control. (1978)Modeling and Forecasting U. S. Mortality (1992)State-Space Models with Regime Switching (1999)Parsimonious Modeling of Yield Curves (1987)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Market Liquidity and Funding Liquidity (2008)An Empirical Comparison of Alternative Credit Default Swap Pricing Models (2012)Experience with Forecasting Univariate Time Series and the Combination of Forecasts (1974)Curve Fitting and Optimal Design for Prediction (1978)A Bayesian Analysis of Kriging (1993)The effect of air pollution on migration: Evidence from China (2022)
this work references cited by second hop

References

  • 1982The accuracy of extrapolation (time series) methods: Results of a forecasting competition1,465 cited
  • 1976Bayesian Forecasting671 cited
  • 1971A Bayesian Approach to Short-term Forecasting213 cited

Cited by

  • 2008Market quality changes in the London Stock Market50 cited
  • 2018Exploring Mispricing in the Term Structure of CDS Spreads37 cited
  • 2012ASIAN FINANCIAL LINKAGE: MACRO‐FINANCE DISSONANCE32 cited
  • 2010A Multivariate Band-Pass Filter for Economic Time Series21 cited
  • 2019A Bayesian Approach to Developing a Stochastic Mortality Model for China18 cited
  • 2017Time-Varying Transition Probability Matrix Estimation and Its Application to Brand Share Analysis11 cited

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