From Large to Vast: Composite Forecasting of Vast-Dimensional Realized Covariance Matrices Using Factor State-Space Models

2020 ◽  
Author(s):  
Jan P. Hartkopf
Keyword(s):  
State Space ◽  
Covariance Matrices ◽  
State Space Models ◽  
Realized Covariance ◽  
Factor State

scholarly journals Analyzing Commodity Futures Using Factor State-Space Models with Wishart Stochastic Volatility

2019 ◽  
Author(s):  
Tore Selland Kleppe ◽  
Roman Liesenfeld ◽  
Guilherme Valle Moura ◽  
Atle Oglend
Keyword(s):  
State Space ◽  
Stochastic Volatility ◽  
State Space Models ◽  
Commodity Futures ◽  
Factor State

Parameter Estimation Using a Modified Version of SPSA Algorithm Applied to State Space Models

2009 ◽  
Vol 129 (12) ◽  
pp. 1187-1194 ◽  
Author(s):  
Jorge Ivan Medina Martinez ◽  
Kazushi Nakano ◽  
Kohji Higuchi
Keyword(s):  
Parameter Estimation ◽  
State Space ◽  
State Space Models

Heat transfer modeling and identification using fractional order state space models

2008 ◽  
Vol 42 (6-8) ◽  
pp. 939-951 ◽  
Author(s):  
Tounsia Jamah ◽  
Rachid Mansouri ◽  
Saïd Djennoune ◽  
Maâmar Bettayeb
Keyword(s):  
Heat Transfer ◽  
State Space ◽  
Fractional Order ◽  
State Space Models ◽  
Heat Transfer Modeling ◽  
Order State
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