04-135/4 - Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models

• Authors
  Siem Jan Koopman, Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam; Marius Ooms, Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam
• Publication date
  December 16, 2004

• Keywords
  Periodicity; Seasonality; Daily data; State Space; Forecasting Weights; Augmented Kalman Filter; Regression Effects
• JEL
  C22