Component structure for nonstationary time series: Application to benchmark oil prices

International Review of Financial Analysis

Volumn 17, Issue 5, 2008, Pages 971-983

  Bhar, Ramaprasad ^a   Hammoudeh, Shawkat ^b   Thompson, Mark A ^c  

^a UNIVERSITY OF NEW SOUTH WALES   (Australia)

^b DREXEL UNIVERSITY   (United States)

^c AUGUSTA STATE UNIVERSITY   (United States)

Author keywords

Kalman filter; One step ahead forecasts; Permanent component; Transitory component

Indexed keywords

EID: 54949158075     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.irfa.2008.07.003     Document Type: Article

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