A Kalman filter approach to characterizing the Canadian term structure of interest rates

By Gravelle Toni   Morley James C.  

Applied Financial Economics, Vol. 15, Iss. 10, 2005-06 ,pp. : 691-705

Routledge Ltd

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The Economic Sentiment Indicator: Leading Indicator - Properties in Old and New EU Member States

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Journal of Business Cycle Measurement, Vol. 2007, Iss. 2, 2008-03 ,pp. : 53-70

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The effect of time-varying risk on the profitability of contrarian investment strategies in a thinly traded market: a Kalman filter approach

By Antoniou Antonios   Galariotis Emilios C.   Spyrou Spyros I.  

Applied Financial Economics, Vol. 16, Iss. 18, 2006-12 ,pp. : 1317-1329

Routledge Ltd

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Do bubbles and time-varying risk premiums affect stock prices? a Kalman filter approach

By Chen Lii-Tarn   Hueng C. James   Lin Chien-fu Jeff  

Global Business and Economics Review, Vol. 2, Iss. 2, 2005-02 ,pp. : 159-171

Inderscience Publishers

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A Note on Band-Pass Filters Based on the Hodrick-Prescott Filter and the OECD System of Composite Leading Indicators

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Journal of Business Cycle Measurement and Analysis, Vol. 2011, Iss. 2, 2012-01 ,pp. : 64-68

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