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Disagreements with noisy signals and asset pricing
Wang, Hailong; Hu, Duni; Ma, Chaoqun; Cheng, Fengchao - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-35
Persistent link: https://www.econbiz.de/10012659556
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Financial risk, financial intermediaries and game theory
Pressacco, Flavio - In: Financial risk in insurance, (pp. 86-112). 1995
Persistent link: https://www.econbiz.de/10001288422
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Portfolio liquidity and security design with private information
DeMarzo, Peter M.; Frankel, David M.; Jin, Yu - In: The review of financial studies 34 (2021) 12, pp. 5841-5885
Persistent link: https://www.econbiz.de/10012694508
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Style analysis with particle filtering and generalized simulated annealing
Fukui, Takaya; Sato, Seisho; Takahashi, Akihiko - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-29
Persistent link: https://www.econbiz.de/10011778283
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Portfolio allocation using wavelet transform
Behradmehr, Nafiseh - 2010
Persistent link: https://www.econbiz.de/10008778150
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State space models for dynamic style analysis of portfolios
Pizzinga, Adrian; Fernandes, Cristiano Augusto Coelho - In: Brazilian review of econometrics : the review of the … 26 (2006) 1, pp. 31-66
Persistent link: https://www.econbiz.de/10003590515
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Principal component and second generation wavelet analysis of Treasury yield curve evolution
Cooper, Mark L. - 2004
Persistent link: https://www.econbiz.de/10003386850
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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...
Persistent link: https://www.econbiz.de/10003922552
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Dynamic hedge fund style analysis with errors-in-variables
Bodson, Laurent; Coën, Alain; Hübner, Georges - In: The journal of financial research 33 (2010) 3, pp. 201-221
Persistent link: https://www.econbiz.de/10008939355
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Risk diversification : a study of persistence with a filtered correlation-network approach
Musmeci, Nicoló; Aste, Tomaso; Di Matteo, Tiziana - In: The journal of network theory in finance 1 (2015) 1, pp. 77-98
Persistent link: https://www.econbiz.de/10011374578