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Introduction to statistical methods for financial models
Severini, Thomas A. - 2018
Persistent link: https://www.econbiz.de/10011641944
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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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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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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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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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A time dynamic pair copula construction : with financial applications
Vesper, Andrew - In: Applied financial economics 22 (2012) 19/21, pp. 1697-1711
Persistent link: https://www.econbiz.de/10009715935
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A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation
Ausín, M. Concepción; Galeano, Pedro; Ghosh, Pulak - In: European journal of operational research : EJOR 232 (2014) 2, pp. 350-358
Persistent link: https://www.econbiz.de/10010224698
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Modeling dependencies with copulae
Härdle, Wolfgang; Okhrin, Ostap; Okhrin, Yarema - In: Applied quantitative finance, (pp. 3-36). 2009
Persistent link: https://www.econbiz.de/10003745932