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Value at risk under heterogeneous investment horizons and spatial relations

Fernández, Viviana - In: The VaR implementation handbook, (pp. 463-483). 2009

Persistent link: https://www.econbiz.de/10003827101

Dynamic betas for Canadian sector portfolios

He, Zhongzhi; Kryzanowski, Lawrence - In: International review of financial analysis 17 (2008) 5, pp. 1110-1122

Persistent link: https://www.econbiz.de/10003792448

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

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Pareti-archived evolutionary wavelet network for financial constrained portfolio optimization

Suganya, N. C.; Pai, G. A. Vijayalakshmi - In: Intelligent systems in accounting finance and … 17 (2010) 2, pp. 59-90

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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...