Hochschulschrift
Dynamic mixture models for financial time series
Inaugural -Dissertation zur Erlangung des Grades eines Doktors der Wirtschafts -und Sozialwissenschaften der Wirtschafts -und Sozialwissenschaftlichen Fakultät der Christian -Albrechts -Universität zu Kiel The objective of this study is the development and application of models for financial time series to which normal mixture distributions are central. The use of mixed normal distributions for modeling the returns of financial assets is appealing because it maintains the assumption of conditionally normally distributed asset returns, yet can still adequately capture often observed "stylized facts" of both conditional and unconditional return distributions, in particular, fat-tailedness and asymmetries. The main part of this study is devoted to the development and investigation of univariate dynamic mixture models for financial time series, namely, mixed normal and Markov-switching GARCH models. In the second part of the study, we also consider multivariate problems, such as portfolio choice when the asset returns under study have a multivariate normal mixture distribution.
- Location
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Deutsche Nationalbibliothek Frankfurt am Main
- ISBN
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9783938262078
3938262079
- Dimensions
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21 cm, 287 gr.
- Extent
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204 S.
- Edition
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1. Aufl.
- Language
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Englisch
- Notes
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graph. Darst.
Zugl.: Kiel, Univ., Diss., 2004
- Classification
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Wirtschaft
Mathematik
- Keyword
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Wechselkursänderung
Zeitreihenanalyse
GARCH-Prozess
Hidden-Markov-Modell
Aktienrendite
Zeitreihenanalyse
GARCH-Prozess
Hidden-Markov-Modell
- Table of contents
- Rights
-
Bei diesem Objekt liegt nur das Inhaltsverzeichnis digital vor. Der Zugriff darauf ist unbeschränkt möglich.
- Last update
-
11.06.2025, 1:44 PM CEST
Data provider
Deutsche Nationalbibliothek. If you have any questions about the object, please contact the data provider.
Object type
- Hochschulschrift
Associated
- Haas, Markus
- Pro Business
Time of origin
- 2004
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