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Modelling European exchange rates and VAR with copula approach

Bohdalová, Maria; Greguš, Michal - 2014

Persistent link: https://www.econbiz.de/10011941378

Advances in Markov-switching models : applications in business cycle research and finance ; with 56 tables

Hamilton, James D. (ed.) - 2002

Persistent link: https://www.econbiz.de/10001681636

A measure of comovement for economic variables : theory and empirics

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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...