A robust Beveridge-Nelson decomposition using a score-driven approach with an application

DOI10.1016/J.ECONLET.2024.111588MaRDI QIDQ6498748zbMATH OpenFDO

Authors Francisco Blasques, Janneke van Brummelen, Paolo Gorgi, Siem Jan Koopman

Publication date 7 May 2024

Published in Economics Letters (Search for Journal in Brave)

zbMATH Keywords

filteringheavy-tailed distributionstrend and cycleautoregressive integrated moving average modelscore-driven model

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Economic time series analysis (91B84)

Recommendations

• The beveridge-nelson decomposition: Properties and extensions
• The multistep Beveridge-Nelson decomposition
• The Beveridge-Nelson decomposition in retrospect and prospect
• Computation of the Beveridge--Nelson decomposition for multivariate economic time series
• The Beveridge-Nelson Decomposition: A Different Perspective with New Results

Cites work

• Dynamic models for volatility and heavy tails. With applications to financial and economic time series
• Filtering With Heavy Tails
• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• Single source of error state space approach to the Beveridge Nelson decomposition
• The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics
• Time series analysis by state space methods.
• Time-series models with an EGB2 conditional distribution

This page was built for publication: A robust Beveridge-Nelson decomposition using a score-driven approach with an application

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6498748)