Interest rate linkages: a Kalman filter approach to detecting structural change

Marco R. Barassi; Guglielmo Maria Caporale; Stephen G. Hall

doi:10.1016/j.econmod.2003.12.005

Interest rate linkages: a Kalman filter approach to detecting structural change

Economic Modelling ◽

10.1016/j.econmod.2003.12.005 ◽

2005 ◽

Vol 22 (2) ◽

pp. 253-284 ◽

Cited By ~ 17

Author(s):

Marco R. Barassi ◽

Guglielmo Maria Caporale ◽

Stephen G. Hall

Keyword(s):

Kalman Filter ◽

Structural Change ◽

Interest Rate ◽

Filter Approach ◽

Interest Rate Linkages

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The Fisher effect: a Kalman filter approach to detecting structural change

Applied Economics Letters ◽

10.1080/13504850600721924 ◽

2008 ◽

Vol 15 (8) ◽

pp. 619-624 ◽

Cited By ~ 5

Author(s):

Abdulnasser Hatemi-J ◽

Manuchehr Irandoust

Keyword(s):

Kalman Filter ◽

Structural Change ◽

Fisher Effect ◽

Filter Approach

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The Kalman filter approach for testing structural change in the demand for alcoholic beverages in the US

Applied Economics ◽

10.1080/00036849000000111 ◽

1990 ◽

Vol 22 (10) ◽

pp. 1407-1416 ◽

Cited By ~ 21

Author(s):

Abebayehu Tegene

Keyword(s):

Kalman Filter ◽

Structural Change ◽

Alcoholic Beverages ◽

The Us ◽

Filter Approach

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Integration Test of HK dollar and RMB and Its Interest Rate Linkages An Empirical Study Based on Structural Change

INTERNATIONAL JOURNAL ON Advances in Information Sciences and Service Sciences ◽

10.4156/aiss.vol4.issue7.16 ◽

2012 ◽

Vol 4 (7) ◽

pp. 138-145

Author(s):

MA Hui

Keyword(s):

Structural Change ◽

Interest Rate ◽

Empirical Study ◽

Integration Test ◽

Interest Rate Linkages

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Improved Measurement Accuracy of a Laser Interferometer: Extended Kalman Filter Approach

IEICE Transactions on Fundamentals of Electronics Communications and Computer Sciences ◽

10.1587/transfun.e93.a.1820 ◽

2010 ◽

Vol E93-A (10) ◽

pp. 1820-1823 ◽

Cited By ~ 1

Author(s):

Wooram LEE ◽

Dongkyun KIM ◽

Kwanho YOU

Keyword(s):

Kalman Filter ◽

Extended Kalman Filter ◽

Measurement Accuracy ◽

Laser Interferometer ◽

Filter Approach

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Evolution and Expansion of the Orbital Debris Scenario based on Constant Gain Kalman Filter Approach

10.2514/6.iac-04-iaa.5.12.1.10 ◽

2004 ◽

Keyword(s):

Kalman Filter ◽

Orbital Debris ◽

Filter Approach

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Estimaciin Dinnmica De Una Estructura De Tasas De Interrs Para Colombia: Annlisis Empprico Con Filtros De Kalman (Dynamic Estimation of the Term Structure Interest Rate Model for the Colombian Markets, Empirical Analysis Using Kalman-Filter)

SSRN Electronic Journal ◽

10.2139/ssrn.2503133 ◽

2012 ◽

Author(s):

Rogelio Maldonado Castaao ◽

Natalia Zapata Rueda

Keyword(s):

Kalman Filter ◽

Interest Rate ◽

Empirical Analysis ◽

Term Structure ◽

Rate Model ◽

Dynamic Estimation ◽

Interest Rate Model

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Time-Varying Integration of REITs with Stocks: A Kalman Filter Approach

Journal of Real Estate Portfolio Management ◽

10.1080/10835547.2020.1858009 ◽

2020 ◽

Vol 26 (2) ◽

pp. 150-160

Author(s):

Stephen Lee

Keyword(s):

Kalman Filter ◽

Time Varying ◽

Filter Approach

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Estimation of time-dependent reaction coefficient with extended Kalman filter approach

Journal of Industrial and Engineering Chemistry ◽

10.1016/j.jiec.2011.11.093 ◽

2012 ◽

Vol 18 (1) ◽

pp. 349-354 ◽

Cited By ~ 1

Author(s):

Sin Kim ◽

Kyung-Youn Kim ◽

Cheng-Hung Huang

Keyword(s):

Kalman Filter ◽

Extended Kalman Filter ◽

Time Dependent ◽

Reaction Coefficient ◽

Filter Approach ◽

Estimation Of Time

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A hybrid nudging-ensemble Kalman filter approach to data assimilation in WRF/DART

Quarterly Journal of the Royal Meteorological Society ◽

10.1002/qj.1939 ◽

2012 ◽

Vol 138 (669) ◽

pp. 2066-2078 ◽

Cited By ~ 19

Author(s):

Lili Lei ◽

David R. Stauffer ◽

Aijun Deng

Keyword(s):

Kalman Filter ◽

Data Assimilation ◽

Ensemble Kalman Filter ◽

Filter Approach

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Torque pulsation compensation for a DC motor using an extended Kalman filter approach

Proceedings of the 41st IEEE Conference on Decision and Control, 2002. ◽

10.1109/cdc.2002.1184543 ◽

2003 ◽

Cited By ~ 3

Author(s):

A. Seguritan ◽

M. Rotunno

Keyword(s):

Kalman Filter ◽

Extended Kalman Filter ◽

Dc Motor ◽

Filter Approach

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