Applications of state space models in finance

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Bibliographische Information der Deutschen Nationalbibliothek Die Deutsche Nationalbibliothek verzeichnet diese Publikation in der Deutschen Nationalbibliographie; detaillierte bibliographische Daten sind im Internet über abrufbar. Sascha Mergner e-mail: sascha.mergner@gmx.de This work is protected by German Intellectual Property Right Law. It is also available as an Open Access version through the publisher’s homepage and the Online Catalogue of the State and University Library of Goettingen (http://www.sub.uni-goettingen.de). Users of the free online version are invited to read, download and distribute it. Users may also print a small number for educational or private use. However they may not sell print versions of the online book. Satz und Layout: Sascha Mergner Umschlaggestaltung: Jutta Pabst © 2009 Universitätsverlag Göttingen http://univerlag.uni-goettingen.de ISBN: 978-3-941875-22-7
To Leyla
Page 1: Sascha Mergner Applications of Stat
Page 4 and 5: erschienen im Universitätsverlag G
Page 9 and 10: Contents List of figures . . . . .
Page 11 and 12: Contents ix 4.5 Model selection and
Page 13: Contents xi 7.5 Concluding remarks
Page 16 and 17: xiv List of figures 6.14 Histograms
Page 19: Notation and conventions The outlin
Page 22 and 23: xx Used abbreviations and symbols L
Page 24 and 25: xxii Used abbreviations and symbols
Page 26 and 27: xxiv Used abbreviations and symbols
Page 29: Preface The work on this book began
Page 33 and 34: Chapter 1 Introduction “Economist
Page 35 and 36: 1.2 Research objectives 3 1.2 Resea
Page 37: 1.3 Organization of the thesis 5 to
Page 40 and 41: 8 2 Some stylized facts of weekly s
Page 42 and 43: 10 2 Some stylized facts of weekly
Page 50 and 51: 18 3 Linear Gaussian state space mo
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24 3 Linear Gaussian state space mo
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Chapter 4 Markov regime switching M
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4.1 Basic concepts 45 R t (%) 20 10
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4.1 Basic concepts 47 probability d
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4.3 Parameter estimation 49 X 1 X 2
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4.3 Parameter estimation 51 4.3.2.1
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4.4 Forecasting and decoding 53 4.4
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4.4 Forecasting and decoding 55 mod
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Chapter 5 Conditional heteroskedast
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5.1 Autoregressive conditional hete
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5.2 Stochastic volatility 65 or the
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5.2 Stochastic volatility 67 5.2.1.
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5.2 Stochastic volatility 69 likeli
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5.2 Stochastic volatility 71 linear
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5.2 Stochastic volatility 73 3. An
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5.3 Multivariate conditional hetero
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84 6 Time-varying market beta risk
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Chapter 7 A Kalman filter based con
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7.1 Factor modeling 125 uncondition
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7.1 Factor modeling 127 predictabil
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7.1 Factor modeling 129 usefulness,
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7.2 Specification of a conditional
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7.3 The risk factors 133 Table 7.1:
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7.3 The risk factors 135 introduced
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7.3 The risk factors 137 auxiliary
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7.4 Empirical results 139 Table 7.4
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7.4 Empirical results 141 are consi
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7.4 Empirical results 145 β TS 0.4
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7.4 Empirical results 153 cumulativ
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Chapter 8 Conclusion and outlook Th
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Conclusion and outlook 157 cannot o
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Appendix A Brief review of asset pr
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A.3 Alternative asset pricing model
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Appendix B Figures
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Figures 165 β t β t β t 2.0 1.5
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Appendix C Tables
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Tables 179 Table C.1 — continued
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Tables 181 Table C.3: In-sample mea
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Tables 183 Table C.5: Out-of-sample
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Tables 185 Table C.7: Parameter est
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Tables 187 Table C.7 — continued
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Tables 189 Table C.8: Out-of-sample
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References Abell, J. D. and T. M. K
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References 193 Bulla, J. (2006). Ap
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References 195 Fabozzi, F. J. and J
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References 197 Harvey, A. C., E. Ru
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References 199 Lie, F., R. Brooks,
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References 201 Shephard, N. (1993).
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State space models play a key role
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Applications of state space models in finance

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