Matches in SemOpenAlex for { <https://semopenalex.org/work/W2968355320> ?p ?o ?g. }
- W2968355320 endingPage "100814" @default.
- W2968355320 startingPage "100814" @default.
- W2968355320 abstract "This paper details the implementation in discrete time of filters for a mean-reverting model formulated under a continuous-time framework, whereby a hidden Markov chain governs the model’s parameters. Parameter estimates are determined via adaptive filters designed to extract hidden information from an observable time series. An application involving the dynamic behaviour of spot interest rates is considered. More specifically, we present an empirical study aimed at capturing accurately, on the basis of some benchmarks and statistical validation, the evolution of three country-specific rates in the European zone. Our analysis reveals some similar yield-rate and risk characteristics as well as independent market behaviours of the three EU sovereign states." @default.
- W2968355320 created "2019-08-22" @default.
- W2968355320 creator A5010674696 @default.
- W2968355320 creator A5062449800 @default.
- W2968355320 creator A5069891187 @default.
- W2968355320 date "2020-02-01" @default.
- W2968355320 modified "2023-10-17" @default.
- W2968355320 title "Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation" @default.
- W2968355320 cites W1489882345 @default.
- W2968355320 cites W1511098757 @default.
- W2968355320 cites W1970273488 @default.
- W2968355320 cites W1973459395 @default.
- W2968355320 cites W1983264599 @default.
- W2968355320 cites W1990134292 @default.
- W2968355320 cites W1990397881 @default.
- W2968355320 cites W1998031535 @default.
- W2968355320 cites W2009004702 @default.
- W2968355320 cites W2011832962 @default.
- W2968355320 cites W2017865598 @default.
- W2968355320 cites W2045393750 @default.
- W2968355320 cites W2055319722 @default.
- W2968355320 cites W2058177657 @default.
- W2968355320 cites W2058340245 @default.
- W2968355320 cites W2064135781 @default.
- W2968355320 cites W2068629725 @default.
- W2968355320 cites W2073201477 @default.
- W2968355320 cites W2074812030 @default.
- W2968355320 cites W2076057077 @default.
- W2968355320 cites W2086457111 @default.
- W2968355320 cites W2097874694 @default.
- W2968355320 cites W2117436269 @default.
- W2968355320 cites W2119728917 @default.
- W2968355320 cites W2121090287 @default.
- W2968355320 cites W2125838338 @default.
- W2968355320 cites W2131643456 @default.
- W2968355320 cites W2142084376 @default.
- W2968355320 cites W2142635246 @default.
- W2968355320 cites W2156980782 @default.
- W2968355320 cites W2159723913 @default.
- W2968355320 cites W2168175751 @default.
- W2968355320 cites W2170131042 @default.
- W2968355320 cites W2293176873 @default.
- W2968355320 cites W2307101150 @default.
- W2968355320 cites W2332282366 @default.
- W2968355320 cites W2531934726 @default.
- W2968355320 cites W2538676990 @default.
- W2968355320 cites W2604842920 @default.
- W2968355320 cites W2732107104 @default.
- W2968355320 cites W2796158757 @default.
- W2968355320 cites W3021444882 @default.
- W2968355320 cites W3093578674 @default.
- W2968355320 cites W3122420083 @default.
- W2968355320 cites W3122686961 @default.
- W2968355320 cites W3124755002 @default.
- W2968355320 cites W3125499073 @default.
- W2968355320 cites W4242541695 @default.
- W2968355320 doi "https://doi.org/10.1016/j.nahs.2019.08.001" @default.
- W2968355320 hasPublicationYear "2020" @default.
- W2968355320 type Work @default.
- W2968355320 sameAs 2968355320 @default.
- W2968355320 citedByCount "2" @default.
- W2968355320 countsByYear W29683553202021 @default.
- W2968355320 countsByYear W29683553202023 @default.
- W2968355320 crossrefType "journal-article" @default.
- W2968355320 hasAuthorship W2968355320A5010674696 @default.
- W2968355320 hasAuthorship W2968355320A5062449800 @default.
- W2968355320 hasAuthorship W2968355320A5069891187 @default.
- W2968355320 hasConcept C105795698 @default.
- W2968355320 hasConcept C11413529 @default.
- W2968355320 hasConcept C119857082 @default.
- W2968355320 hasConcept C12426560 @default.
- W2968355320 hasConcept C143724316 @default.
- W2968355320 hasConcept C149782125 @default.
- W2968355320 hasConcept C151730666 @default.
- W2968355320 hasConcept C154945302 @default.
- W2968355320 hasConcept C162324750 @default.
- W2968355320 hasConcept C167928553 @default.
- W2968355320 hasConcept C187736073 @default.
- W2968355320 hasConcept C23224414 @default.
- W2968355320 hasConcept C2524010 @default.
- W2968355320 hasConcept C33923547 @default.
- W2968355320 hasConcept C41008148 @default.
- W2968355320 hasConcept C55689738 @default.
- W2968355320 hasConcept C86803240 @default.
- W2968355320 hasConcept C96250715 @default.
- W2968355320 hasConcept C98763669 @default.
- W2968355320 hasConceptScore W2968355320C105795698 @default.
- W2968355320 hasConceptScore W2968355320C11413529 @default.
- W2968355320 hasConceptScore W2968355320C119857082 @default.
- W2968355320 hasConceptScore W2968355320C12426560 @default.
- W2968355320 hasConceptScore W2968355320C143724316 @default.
- W2968355320 hasConceptScore W2968355320C149782125 @default.
- W2968355320 hasConceptScore W2968355320C151730666 @default.
- W2968355320 hasConceptScore W2968355320C154945302 @default.
- W2968355320 hasConceptScore W2968355320C162324750 @default.
- W2968355320 hasConceptScore W2968355320C167928553 @default.
- W2968355320 hasConceptScore W2968355320C187736073 @default.
- W2968355320 hasConceptScore W2968355320C23224414 @default.