A general stochastic model for trading-day variations: CS11-614/89-11E-PDF

"The purpose of this paper is to introduce a general stochastic model that allows for gradual changes of the daily activity coefficients used to calculate trading-day variations. The model is presented in a state-space form and estimated using the Kalman filter and fixed interval smoother. Examples of the stochastic and deterministic models are given for real data"--Abstract.

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Department/Agency Statistics Canada. Methodology Branch.
Title A general stochastic model for trading-day variations
Series Title Working paper ;
Publication Type Series - View Master Record
Language [English]
Format Electronic
Electronic Document

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Note Digitized edition from print [produced by Statistics Canada]. "Working Paper No. TSRA-89-011." "July, 1989."
Date 1989.
Number of Pages 15, [2] p. :
Catalogue Number
  • CS11-614/89-11E-PDF
Departmental Catalogue Number 11-614E
Subject Terms Methodology, Statistical analysis