Unobserved components models in economics and finance: the role of the Kalman filter in time series econometrics

Research output: Contribution to Journal › Article › Academic › peer-review

Original language	English
Pages (from-to)	71-81
Journal	IEEE Control Systems Magazine
Volume	29
Issue number	6
DOIs	https://doi.org/10.1109/MCS.2009.934465
Publication status	Published - 2009

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title = "Unobserved components models in economics and finance: the role of the Kalman filter in time series econometrics",

author = "S.J. Koopman and A.C. Harvey",

year = "2009",

doi = "10.1109/MCS.2009.934465",

language = "English",

volume = "29",

pages = "71--81",

journal = "IEEE Control Systems Magazine",

issn = "0272-1708",

publisher = "Institute of Electrical and Electronics Engineers",

number = "6",

}

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T1 - Unobserved components models in economics and finance: the role of the Kalman filter in time series econometrics

AU - Koopman, S.J.

AU - Harvey, A.C.

PY - 2009

Y1 - 2009

U2 - 10.1109/MCS.2009.934465

DO - 10.1109/MCS.2009.934465

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SP - 71

EP - 81

JO - IEEE Control Systems Magazine

JF - IEEE Control Systems Magazine

SN - 0272-1708

IS - 6

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