10 Structural time series models
- 1 January 1993
- book chapter
- Published by Elsevier
Abstract
No abstract availableThis publication has 56 references indexed in Scilit:
- ARCH modeling in financeJournal of Econometrics, 1992
- Smoothing and Interpolation with the State-Space ModelJournal of the American Statistical Association, 1989
- Pricing European Currency Options: A Comparison of the Modified Black- Scholes Model and a Random Variance ModelJournal of Financial and Quantitative Analysis, 1989
- A cross-validation filter for time series modelsBiometrika, 1988
- The likelihood for a state space modelBiometrika, 1988
- Prediction Mean Squared Error for State Space Models with Estimated ParametersBiometrika, 1986
- Generalized autoregressive conditional heteroskedasticityJournal of Econometrics, 1986
- Estimation, Filtering, and Smoothing in State Space Models with Incompletely Specified Initial ConditionsThe Annals of Statistics, 1985
- Formulation and estimation of dynamic models using panel dataJournal of Econometrics, 1982
- Intervention Analysis with Applications to Economic and Environmental ProblemsJournal of the American Statistical Association, 1975