"Forecasting stochastic Volatility using the Kalman filter: an application to Canadian Interest Rates and Price-Earnings Ratio"
Year of publication: |
2010-12
|
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Authors: | Théoret, Raymond ; Racicot, François-Éric |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Stochastic volatility | Kalman filter | P/E ratio forecast | Interest rate forecast |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Classification: | C13 - Estimation ; G12 - Asset Pricing ; G31 - Capital Budgeting; Investment Policy ; C19 - Econometric and Statistical Methods: General. Other ; C49 - Econometric and Statistical Methods: Special Topics. Other |
Source: |
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Racicot, Francois-Éric, (2011)
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Risk Procyclicality and Dynamic Hedge Fund Strategies
Racicot, Francois-Éric, (2011)
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Towards New Empirical Versions of Financial and Accounting Models Corrected for Measurement Errors
Racicot, Francois-Éric, (2006)
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The economic and financial features of insider trading
Racicot, François-Éric, (2009)
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Integrating volatility factors in the analysis of the hedge fund alpha puzzle
Racicot, François-Éric, (2009)
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An essay on the history of a merger : the case of the National Bank of Canada
Théoret, Raymond, (2007)
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