Ledenyov, Dimitri O. and Ledenyov, Viktor O. (2013): On the Stratonovich – Kalman  Bucy filtering algorithm application for accurate characterization of financial time series with use of statespace model by central banks.

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Abstract
The central banks introduce and implement the monetary and financial stabilities policies, going from the accurate estimations of national macrofinancial indicators such as the Gross Domestic Product (GDP). Analyzing the dependence of the GDP on the time, the central banks accurately estimate the missing observations in the financial time series with the application of different interpolation models, based on the various filtering algorithms. The Stratonovich – Kalman – Bucy filtering algorithm in the state space interpolation model is used with the purpose to interpolate the real GDP by the US Federal Reserve and other central banks. We overviewed the Stratonovich – Kalman – Bucy filtering algorithm theory and its numerous applications. We describe the technique of the accurate characterization of the economic and financial time series with application of state space methods with the Stratonovich – Kalman  Bucy filtering algorithm, focusing on the estimation of Gross Domestic Product by the Swiss National Bank. Applying the integrative thinking principles, we developed the software program and performed the computer modeling, using the Stratonovich – Kalman – Bucy filtering algorithm for the accurate characterization of the Australian GDP, German GDP and the USA GDP in the frames of the statespace model in Matlab. We also used the HodrickPrescott filter to estimate the corresponding output gaps in Australia, Germany and the USA. We found that the Australia, Germany on one side and the USA on other side have the different business cycles. We believe that the central banks can use our special software program with the aim to greatly improve the national macroeconomic indicators forecast by making the accurate characterization of the financial timeseries with the application of the statespace models, based on the Stratonovich – Kalman – Bucy filtering algorithm.
Item Type:  MPRA Paper 

Original Title:  On the Stratonovich – Kalman  Bucy filtering algorithm application for accurate characterization of financial time series with use of statespace model by central banks 
English Title:  On the Stratonovich – Kalman  Bucy filtering algorithm application for accurate characterization of financial time series with use of statespace model by central banks 
Language:  English 
Keywords:  Wiener filtering theory, Stratonovich optimal nonlinear filtering theory, Stratonovich – Kalman – Bucy filtering algorithm, state space interpolation technique, financial timeseries, nonlinearities, stochastic volatility; Markov switching, Bayesian estimation. Gaussian distribution, econophysics, econometrics, central bank, integrative thinking. 
Subjects:  C  Mathematical and Quantitative Methods > C4  Econometric and Statistical Methods: Special Topics C  Mathematical and Quantitative Methods > C4  Econometric and Statistical Methods: Special Topics > C46  Specific Distributions ; Specific Statistics C  Mathematical and Quantitative Methods > C5  Econometric Modeling C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C51  Model Construction and Estimation C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C52  Model Evaluation, Validation, and Selection C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C53  Forecasting and Prediction Methods ; Simulation Methods C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C58  Financial Econometrics C  Mathematical and Quantitative Methods > C6  Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling E  Macroeconomics and Monetary Economics > E5  Monetary Policy, Central Banking, and the Supply of Money and Credit E  Macroeconomics and Monetary Economics > E5  Monetary Policy, Central Banking, and the Supply of Money and Credit > E58  Central Banks and Their Policies 
Item ID:  50235 
Depositing User:  Prof. Viktor O. Ledenyov 
Date Deposited:  28. Sep 2013 05:07 
Last Modified:  28. Sep 2013 05:34 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/50235 