Applications of Advanced Time Series Models to Analyze the Time-varying Relationship between Macroeconomics, Fundamentals and Pan-European Industry Portfolios ; Anwendungen moderner Zeitreihenverfahren zur Analyse zeitvariabler Zusammenhänge zwischen gesamtwirtschaftlichen Entwicklungen, Fundamentaldaten und europäischen Branchenportfolios
| Year of publication: |
2008-05-09
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|---|---|
| Authors: | Mergner, Sascha |
| Subject: | 310 Statistik | LCB 000 | LCB 405 | EGCM 100 | EGCP 200 | EJBB 840 | Economics and Management Science | Finanzzeitreihen | Gauß'sche Zustandsraummodelle | Kalman Filter | Markov Regime Switching | Stochastische Volatilität | Zeitvariable Betas | Bedingtes Faktormodell | Branchenportfolios | Financial Time Series | Gaussian State Space Model | Stochastic Volatility | Efficient Monte Carlo Likelihood | Time-Varying Beta Risk | Conditional Factor Model | Industry Portfolios |
| Type of publication: | Book / Working Paper |
|---|---|
| Type of publication (narrower categories): | Thesis |
| Language: | English |
| Source: | BASE |
Persistent link: https://www.econbiz.de/10010353162