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Optimal filtering of jump diffusions : extracting latent states from asset prices
Johannes, Michael S.; Polson, Nicholas G.; Stroud, … - In: The review of financial studies 22 (2009) 7, pp. 2759-2799
Persistent link: https://www.econbiz.de/10003866870
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A simulation approach to dynamic portfolio choice with an application to learning about returns predictability
Brandt, Michael W.; Goyal, Amit; Santa-Clara, Pedro; … - In: The review of financial studies 18 (2005) 3, pp. 831-874
Persistent link: https://www.econbiz.de/10003133514
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Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices
Johannes, Michael S.; Polson, Nicholas G.; Stroud, … - In: The review of financial studies 22 (2013) 7, pp. 2759-2758
Persistent link: https://www.econbiz.de/10010114149
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A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability
Brandt, Michael W.; Goyal, Amit; Santa-Clara, Pedro; … - In: The review of financial studies 18 (2013) 3, pp. 831-830
Persistent link: https://www.econbiz.de/10010114559
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A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability
Brandt, Michael W.; Goyal, Amit; Santa-Clara, Pedro; … - In: The review of financial studies 18 (2005) 3, pp. 831-874
Persistent link: https://www.econbiz.de/10007022904