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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
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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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Statistics and finance : an introduction
Ruppert, David - 2004
regression using splines, are introduced as needed. The classical methods of finance such as portfolio theory, CAPM, and the …:Introduction * Probability and Statistical Models * Returns * Time Series Models * Portfolio Theory * Regression * The Capital Asset Pricing …
Persistent link: https://www.econbiz.de/10001805902
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Multivariate Copula-Modelle für Finanzmarktdaten : eine simulative und empirische Untersuchung
Köck, Christian - 2008
Persistent link: https://www.econbiz.de/10003717606
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Applied quantitative finance
Härdle, Wolfgang (ed.); Hautsch, Nikolaus (ed.);  … - 2009 - 2. ed.
Persistent link: https://www.econbiz.de/10003719524
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Modeling dependencies in finance using copulae
Härdle, Wolfgang (contributor); Okhrin, Ostap (contributor) - 2008
In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the …
Persistent link: https://www.econbiz.de/10003727552
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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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A multivariate random walk model with slowly changing drift and cross-correlation applied to finance
Feng, Yuanhua; Hand, D. J.; Yu, Keming - 2012
Persistent link: https://www.econbiz.de/10009572920
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Evolving equity market interdependencies : evidence from emerging markets
Talwar, Shalini - In: International journal of economics and finance 7 (2015) 8, pp. 38-52
Persistent link: https://www.econbiz.de/10011344992