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

DOI10.1016/J.ECONLET.2017.02.012zbMATH Open1396.62270OpenAlexW2588802166MaRDI QIDQ1783450FDOQ1783450

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

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zbMATH Keywords

Markov chain Monte Carlostate-space modelconditional heteroscedasticitydiscrete responses

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Dynamic Generalized Linear Models and Bayesian Forecasting
• ARCH modeling in finance. A review of the theory and empirical evidence
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• Rates of convergence for estimating regression coefficients in heteroskedastic discrete response models
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• Posterior Mode Estimation by Extended Kalman Filtering for Multivariate Dynamic Generalized Linear Models
• Efficient simulation and integrated likelihood estimation in state space models
• State space mixed models for longitudinal observations with binary and binomial responses
• Monte Carlo Kalman filter and smoothing for multivariate discrete state space models
• Predicting stock price movements: an ordered probit analysis on the Australian Securities Exchange
• Stochastic volatility models for ordinal-valued time series with application to finance
• A conditionally heteroskedastic binary choice model for macro-financial time series

Cited In (1)

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

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