Structural Adaptive Models in Financial Econometrics

  • Modern methods in statistics and econometrics successfully deal with stylized facts observed on financial markets. The presented techniques aim to understand the dynamics of financial market data more accurate than traditional approaches. Economic and financial benefits are achievable. The results are here evaluated in practical examples that mainly focus on forecasting of financial data. Our applications include: (i) modelling and forecasting of liquidity supply, (ii) localizing multiplicative error models and (iii) providing evidence for the empirical pricing kernel paradox across countries.

Export metadata

Additional Services

Search Google Scholar
Metadaten
Author: Andrija Mihoci
URL:http://edoc.hu-berlin.de/docviews/abstract.php?lang=ger&id=39635
Publisher:Humboldt-Universität
Place of publication:Berlin
Document Type:Doctoral thesis
Language:English
Year of publication:2012
Tag:Applications; Dynamics; Financial Data; Financial Marktes; Forecasting; Statistics and Econometrics
Faculty/Chair:Fakultät 5 Wirtschaft, Recht und Gesellschaft / FG Wirtschaftsstatistik und Ökonometrie
Einverstanden ✔
Diese Webseite verwendet technisch erforderliche Session-Cookies. Durch die weitere Nutzung der Webseite stimmen Sie diesem zu. Unsere Datenschutzerklärung finden Sie hier.