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.