State space modeling with non-negativity constraints using quadratic forms
O Theodosiadou, G Tsaklidis - Mathematics, 2021 - mdpi.com
State space model representation is widely used for the estimation of nonobservable
(hidden) random variables when noisy observations of the associated stochastic process …
(hidden) random variables when noisy observations of the associated stochastic process …
Kalman filter and structural change revisited: An application to foreign trade-economic growth nexus
OJ Asemota - International Conference of the Thailand Econometrics …, 2018 - Springer
In the last two decades, Nigeria's economy has been affected by several shocks such as the
1985-86 oil price crash; 1997 Asian financial crisis; 2008-2009 global financial crisis, oil …
1985-86 oil price crash; 1997 Asian financial crisis; 2008-2009 global financial crisis, oil …
A semi-parametric method for estimating the beta coefficients of the hidden two-sided asset return jumps
O Theodosiadou, V Polimenis… - Journal of Applied …, 2019 - Taylor & Francis
We introduce a new methodology for estimating the parameters of a two-sided jump model,
which aims at decomposing the daily stock return evolution into (unobservable) positive and …
which aims at decomposing the daily stock return evolution into (unobservable) positive and …