An extended regularized Kalman filter based on Genetic Algorithm : application to dynamic asset pricing models
Minqi Jiang, Jiapeng Liu, Lu Zhang
| Year of publication: |
2021
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| Authors: | Jiang, Minqi ; Liu, Jiapeng ; Zhang, Lu |
| Published in: |
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9769, ZDB-ID 1114217-0. - Vol. 79.2021, p. 28-44
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| Subject: | Dynamic asset pricing model | Extended regularized Kalman filter | Genetic Algorithm | Mixed noise | Theorie | Theory | CAPM | Zustandsraummodell | State space model | Evolutionärer Algorithmus | Evolutionary algorithm | Mathematische Optimierung | Mathematical programming | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.qref.2020.12.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012655014