Extracting a common stochastic trend: theory with some applications (Q302195)
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scientific article; zbMATH DE number 6600714
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| English | Extracting a common stochastic trend: theory with some applications |
scientific article; zbMATH DE number 6600714 |
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Extracting a common stochastic trend: theory with some applications (English)
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4 July 2016
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state space model
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Kalman filter
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common stochastic trend
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maximum likelihood estimation
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permanent-transitory decomposition
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interest rates
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volume and volatility
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stock price index
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0.7727652788162231
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0.7554296255111694
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0.7436583042144775
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0.7436583042144775
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