All submissions of the EM system will be redirected to Online Manuscript Submission System. Authors are requested to submit articles directly to Online Manuscript Submission System of respective journal.


Theory and algorithm of state space model and its application in financial econometrics

Author(s): Yaoyuan Liu

Because the time series of financial econometrics has feature of nonlinearity and is nongaussian as well as the latent variable and time-varying parameters. The standard quantitative analysis model in the practice is very difficult. This thesis manages to base on the theory of recurrence Bayes filtering theory and integrate the state space model of modern statistical calculation. The thesis studies the theory and algorithm of state space model, and through the comparison and check in the simulation experiment we find that the application of state space model in financial econometrics is the best.

Share this       

Share this Page.

Table of Contents

izmir escort izmir escort bursa escort antalya escort izmir escort porno porno izle türk porno eskişehir escort bartın escort burdur escort havalandırma izmir escort bursa escort porno indir izle escort izmir