Discrete-response state space models with conditional heteroscedasticity: an application to forecasting the federal funds rate target

DOI10.1016/J.ECONLET.2017.02.012MaRDI QIDQ1783450zbMATH OpenOpenAlexFDO

Authors Stefanos Dimitrakopoulos, Dipak K. Dey

Publication date 21 September 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL http://eprints.whiterose.ac.uk/141639/1/manuscript_1.pdf

zbMATH Keywords

Markov chain Monte Carlostate-space modelconditional heteroscedasticitydiscrete responses

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites work

• scientific article; zbMATH DE number 1983945 (Why is no real title available?)
• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• A conditionally heteroskedastic binary choice model for macro-financial time series
• ARCH modeling in finance. A review of the theory and empirical evidence
• Bayesian Dynamic Panel-Ordered Probit Model and Its Application to Subjective Well-Being
• Dynamic Generalized Linear Models and Bayesian Forecasting
• Efficient simulation and integrated likelihood estimation in state space models
• Monte Carlo Kalman filter and smoothing for multivariate discrete state space models
• Posterior Mode Estimation by Extended Kalman Filtering for Multivariate Dynamic Generalized Linear Models
• Predicting stock price movements: an ordered probit analysis on the Australian Securities Exchange
• Rates of convergence for estimating regression coefficients in heteroskedastic discrete response models
• State space mixed models for binary responses with scale mixture of normal distributions links
• State space mixed models for longitudinal observations with binary and binomial responses
• Stochastic volatility models for ordinal-valued time series with application to finance

Cited in

(1)

• A new marked point process model for the federal funds rate target: methodology and forecast evaluation

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