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~subject:"Conditional Factor Model"
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Conditional Factor Model
European industry portfolios
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Kalman filter
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bivariate t-GARCH
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efficient Monte Carlo likelihood
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stochastic volatility
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time-varying beta risk
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EGCM 100
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Economics and Management Science
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Efficient Monte Carlo Likelihood
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Financial Time Series
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Finanzzeitreihen
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Gaussian State Space Model
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Gauß'sche Zustandsraummodelle
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Mergner, Sascha
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Applications of Advanced Time Series Models to Analyze the Time-varying Relationship between Macroeconomics, Fundamentals and Pan-European Industry Portfolios ; Anwendungen moderne...
Mergner, Sascha
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2008
Persistent link: https://www.econbiz.de/10010353162
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