... the empirical part that illustrates the results for the co-integration, the Kalman smoother and DTW approach as well as consequences that arise for investors. Section 4 concludes. Some tables and figures are provided in the Appendix . The basic concept of the Kalman filter has been developed some...

... the predictive regression as a state-space model and estimate the time-varying coefficients via the Kalman filter and prediction-error decomposition. Findings The authors find that the nature of the predictive relationship between crude oil and the US stock market changed in the latter half of 2008. After...

... ) approach. The author also uses a time-varying regression framework in level form based on Kalman filter to examine the dynamic nature of gold–WPI relation. Findings The author finds no evidence of cointegration between gold and WPI. However, The author reports a significant dynamic relation between...