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Wendepunkte in Finanzmärkten : Prognose und asset allocation
Huber, Claus - 2000
Persistent link: https://www.econbiz.de/10001461424
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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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Relative Stärke als Entscheidungskriterium auf Futures-Märkten
Borchers, Björn - 2015 - 1. Auflage
Persistent link: https://www.econbiz.de/10011440446
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Analysis of financial time series : financial econometrics
Tsay, Ruey S. - 2001
Persistent link: https://www.econbiz.de/10001571906
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Datamining und computational finance : Ergebnisse des 7. Karsruher Ökonometrie-Workshops
Bol, Georg (ed.); Hann, Tae Horn (contributor) - 2000
Persistent link: https://www.econbiz.de/10001455393
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Topological Data Analysis of Financial Time Series : Landscapes of Crashes
Gidea, Marian - 2018
We explore the evolution of daily returns of four major US stock market indices during the technology crash of 2000, and the financial crisis of 2007-2009. Our methodology is based on topological data analysis (TDA). We use persistence homology to detect and quantify topological patterns that...
Persistent link: https://www.econbiz.de/10012934482
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Long vs. short term asymmetry in volatility and the term structure of risk
Lönnbark, Carl - In: Finance research letters 23 (2017), pp. 202-209
Persistent link: https://www.econbiz.de/10011808396
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Forecasting Tail Risk Measures for Financial Time Series : An Extreme Value Approach With Covariates
James, Robert; Leung, Henry; Leung, Jessica Wai Yin; … - 2021
The paper develops a tail risk forecasting model that incorporates the wealth of economic and financial information … available to risk managers. The approach can be viewed as a regularized extension of the two-stage GARCH-EVT model of McNeil and … extreme value distribution of risk. We use a rich data set from the US equity market to explore when this additional …
Persistent link: https://www.econbiz.de/10013214142
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Schätzung von variierenden Beta-Koeffizienten mit dem Kalman-Filter
Boos, Anna Carri - 1988
Persistent link: https://www.econbiz.de/10000746710
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Time series momentum
Moskowitz, Tobias J.; Ooi, Yao Hua; Pedersen, Lasse Heje - In: Journal of financial economics 104 (2012) 2, pp. 228-250
Persistent link: https://www.econbiz.de/10009621174