An extended regularized Kalman filter based on Genetic Algorithm : application to dynamic asset pricing models
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 | Evolutionärer Algorithmus | Evolutionary algorithm | CAPM | Zustandsraummodell | State space model | Stochastischer Prozess | Stochastic process | Kapitalmarkttheorie | Financial economics |
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