Extracting a common stochastic trend: Theory with some applications

By Yoosoon Chang, J. Miller, Joon Y. Park. 2009

70 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/fa29909627b4dac01ef6eeb2c78388642a002a94

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Thierry Roncalli

In Finance

1. Thierry Roncalli

Citations in the corpus

• Trend Filtering Methods for Momentum Strategies (2011, methodology): “Given the parameters (α,Ω, σζ , ση), we may run the Kalman filter to estimate the trend xt and the slope µt whereas the Kalman smoother allows us to estimate xt−i and µt−i at time t. Remark 6 The case ση = 0 has been extensively studied by Chang et al. (2009).”