Applications of State Space Models in Finance

Applications of State Space Models in Finance

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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 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.This thesis deals with the modeling of change in the context of widely established concepts in finance. ... Three major research objectives are addressed: (i) to provide a notationally conformable introduction to the econometric toolbox neededanbsp;...

Title:Applications of State Space Models in Finance
Author: Sascha Mergner
Publisher:Universitätsverlag Göttingen - 2009

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