Random aggregation with applications in high-frequency finance.
- Published in:
- Journal of Forecasting, 2011, v. 30, n. 1, p. 72, doi. 10.1002/for.1196
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- Publication type:
- Article
Works matching IS 02776693 AND DT 2011 AND VI 30 AND IP 1
Results: 9
1
2
Kalman filtering and smoothing for model-based signal extraction that depend on time-varying spectra.
- Published in:
- Journal of Forecasting, 2011, v. 30, n. 1, p. 147, doi. 10.1002/for.1203
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- Publication type:
- Article
3
Distributional Kalman filters for Bayesian forecasting and closed form recurrences.
- Published in:
- Journal of Forecasting, 2011, v. 30, n. 1, p. 210, doi. 10.1002/for.1207
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- Publication type:
- Article
4
Particle filters and Bayesian inference in financial econometrics.
- Published in:
- Journal of Forecasting, 2011, v. 30, n. 1, p. 168, doi. 10.1002/for.1195
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- Publication type:
- Article
5
Identification of TAR models using recursive estimation.
- Published in:
- Journal of Forecasting, 2011, v. 30, n. 1, p. 31, doi. 10.1002/for.1188
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- Publication type:
- Article
6
Introduction to special issue commemorating the 50th anniversary of the Kalman Filter and 40th anniversary of Box and Jenkins.
- Published in:
- Journal of Forecasting, 2011, v. 30, n. 1, p. 1, doi. 10.1002/for.1202
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- Publication type:
- Article
7
Gauss, Kalman and advances in recursive parameter estimation.
- Published in:
- Journal of Forecasting, 2011, v. 30, n. 1, p. 104, doi. 10.1002/for.1187
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- Publication type:
- Article
8
Inference for regression models with errors from a non-invertible MA(1) process.
- Published in:
- Journal of Forecasting, 2011, v. 30, n. 1, p. 6, doi. 10.1002/for.1198
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- Publication type:
- Article
9
Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes.
- Published in:
- Journal of Forecasting, 2011, v. 30, n. 1, p. 51, doi. 10.1002/for.1197
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- Publication type:
- Article