Estimation and prediction of time-varying GARCH models through a state-space representation: a computational approach

Journal of Statistical Computation and Simulation ◽

10.1080/00949655.2017.1334778 ◽

2017 ◽

Vol 87 (12) ◽

pp. 2430-2449 ◽

Author(s):

Guillermo Ferreira ◽

Jean P. Navarrete ◽

Francisco J. Rodríguez-Cortés ◽

Jorge Mateu

Keyword(s):

State Space ◽

Computational Approach ◽

Space Representation ◽

Garch Models ◽

Time Varying ◽

State Space Representation ◽

Estimation And Prediction

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PASTA: A State-Space Representation for In-Line Estimation of Time-Varying Parameters of Market Response Models

SSRN Electronic Journal ◽

10.2139/ssrn.3121760 ◽

2014 ◽

Author(s):

Noah Tilzer ◽

Nazrul I. Shaikh

Keyword(s):

State Space ◽

Space Representation ◽

Market Response ◽

Time Varying ◽

Response Models ◽

Varying Parameters ◽

State Space Representation ◽

Time Varying Parameters ◽

Estimation Of Time

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State-space representation and realization of time-varying linear input—output functions

Journal of the Franklin Institute ◽

10.1016/0016-0032(76)90079-x ◽

1976 ◽

Vol 301 (6) ◽

pp. 573-592 ◽

Author(s):

Alberto Isidori ◽

Antonio Ruberti

Keyword(s):

State Space ◽

Space Representation ◽

Time Varying ◽

Input Output ◽

State Space Representation

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The State Space Representation and Estimation of a Time-Varying Parameter VAR with Stochastic Volatility

State-Space Models ◽

10.1007/978-1-4614-7789-1_6 ◽

2013 ◽

pp. 133-145

Author(s):

Taeyoung Doh ◽

Michael Connolly

Keyword(s):

State Space ◽

Stochastic Volatility ◽

The State ◽

Space Representation ◽

Time Varying ◽

State Space Representation ◽

Time Varying Parameter

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13.1. The State-Space Representation of a Dynamic System

Time Series Analysis ◽

10.1515/9780691218632-111 ◽

1994 ◽

pp. 372-377

Keyword(s):

Dynamic System ◽

State Space ◽

The State ◽

Space Representation ◽

State Space Representation

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A note on the state space representation of aeroelastic systems for time domain analysis

Journal of Fluids and Structures ◽

10.1016/j.jfluidstructs.2021.103294 ◽

2021 ◽

Vol 104 ◽

pp. 103294

Author(s):

Douglas D. Bueno ◽

Earl H. Dowell

Keyword(s):

State Space ◽

Time Domain ◽

Time Domain Analysis ◽

Domain Analysis ◽

The State ◽

Space Representation ◽

State Space Representation

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Predicting equity premium using dynamic model averaging. Does the state–space representation matter?

The North American Journal of Economics and Finance ◽

10.1016/j.najef.2021.101442 ◽

2021 ◽

Vol 57 ◽

pp. 101442

Author(s):

Nima Nonejad

Keyword(s):

State Space ◽

Dynamic Model ◽

Equity Premium ◽

Model Averaging ◽

The State ◽

Space Representation ◽

State Space Representation ◽

Dynamic Model Averaging

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Fractional order state space representation of structural hysteresis

10.2514/6.1997-1152 ◽

1997 ◽

Author(s):

Jerzy Sawicki ◽

Joe Padovan ◽

Jerzy Sawicki ◽

Joe Padovan

Keyword(s):

State Space ◽

Fractional Order ◽

Space Representation ◽

State Space Representation ◽

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A unified framework for modeling slow response self-powered neutron detectors with discrete-time state-space representation

2013 3rd International Conference on Advancements in Nuclear Instrumentation, Measurement Methods and their Applications (ANIMMA) ◽

10.1109/animma.2013.6728071 ◽

2013 ◽

Author(s):

Daowei Bi ◽

Dongling Xu ◽

Jiangtao Bu

Keyword(s):

State Space ◽

Discrete Time ◽

Space Representation ◽

Slow Response ◽

Unified Framework ◽

Neutron Detectors ◽

State Space Representation ◽

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Methodology for the design of a thermal distortion compensation for large machine tools based in state-space representation with Kalman filter

International Journal of Machine Tools and Manufacture ◽

10.1016/j.ijmachtools.2013.09.005 ◽

2013 ◽

Vol 75 ◽

pp. 100-108 ◽

Author(s):

Eneko Gomez-Acedo ◽

Aitor Olarra ◽

Javier Orive ◽

Luis Norberto Lopez de la Calle

Keyword(s):

Kalman Filter ◽

State Space ◽

Machine Tools ◽

Space Representation ◽

Thermal Distortion ◽

Distortion Compensation ◽

State Space Representation ◽

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State space representation of Petri nets

Microelectronics Reliability ◽

10.1016/0026-2714(84)90009-x ◽

1984 ◽

Vol 24 (5) ◽

pp. 865-868 ◽

Author(s):

G.S. Hura

Keyword(s):

State Space ◽

Space Representation ◽

State Space Representation

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