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Wendepunkte in Finanzmärkten : Prognose und asset allocation

Huber, Claus - 2000

Persistent link: https://www.econbiz.de/10001461424

Financial econometrics : problems, models, and methods

Gouriéroux, Christian; Jasiak, Joann - 2001

Persistent link: https://www.econbiz.de/10001601613

Financial econometrics : problems, models, and methods

Gouriéroux, Christian - 2001

to future advances. They present a balanced synthesis of financial theory and statistical methodology. Recognizing that … statistical theory, the book also addresses the needs of applied researchers employed by financial institutions. …

Persistent link: https://www.econbiz.de/10014488576

Applications of state space models in finance : an empirical analysis of the time-varying relationship between macroeconomics, fundamentals and Pan-European industry portfolios

Mergner, Sascha - 2009

State space models play a key role in the estimation of time-varying sensitivities in financial markets. The objective of this book is to analyze the relative merits of modern time series techniques, such as Markov regime switching and the Kalman filter, to model structural changes in the...