Dokumente Rechts-, Wirtschafts- und Sozialwissenschaften nach Autor "Mergner, Sascha"
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Applications of Advanced Time Series Models to Analyze the Time-varying Relationship between Macroeconomics, Fundamentals and Pan-European Industry Portfolios
Mergner, Sascha (2008-05-09)This thesis is concerned with the modeling of time-varying sensitivities in financial markets. Although interest in applying advanced time series techniques, such as the Kalman filter and Markov regime switching models, ...