Show simple item record

Applications of State Space Models in finance

an empirical analysis of the time-varying relationship between macroeconomics, fundamentals and Pan-European industry portfolios

dc.contributor.authorMergner, Sascha
dc.date.accessioned2010-09-15T14:10:58Z
dc.date.available2010-09-15T14:10:58Z
dc.date.issued2009
dc.identifier.urihttp://resolver.sub.uni-goettingen.de/purl?gs-1/5122
dc.description.abstractState 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 context of widely used concepts in finance.The presented material will be useful for financial economists and practitioners who are interested in taking time-variation in the relationship between financial assets and key economic factors explicitly into account. The empirical part illustrates the application of the various methods under consideration. As a distinctive feature, it includes a comprehensive analysis of the ability of time-varying coefficient models to estimate and predict the conditional nature of systematic risks for European industry portfolios.
dc.format.mimetypeapplication/pdf
dc.language.isoeng
dc.publisherUniversitätsverlag Göttingen
dc.rightsopenAccess
dc.rights.urihttp://creativecommons.org/licenses/by-nd/2.0/de
dc.subjectKreditmarkt; Finanzmarkt
dc.subjectOAPEN
dc.subject.ddc330
dc.titleApplications of State Space Models in finance
dc.title.alternativean empirical analysis of the time-varying relationship between macroeconomics, fundamentals and Pan-European industry portfolios
dc.typemonograph
dc.type.versionpublishedVersion
dc.identifier.ppn617053014
dc.type.subtypemonograph
dc.identifier.pISBN978-3-941875-22-7
dc.description.statuspeerReviewed


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record

These documents are avalilable under the license:
openAccess