Parameter estimation methods of required rate of return on stock

DOI10.1142/S0219024924500055WikidataQ129669619 ScholiaQ129669619MaRDI QIDQ6492034FDOQ6492034

Battulga Gankhuu

Publication date: 24 April 2024

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

regime-switchingKalman filteringML estimatorBayesian estimatorstochastic DDM

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial markets (91G15)

Cites Work

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• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Common risk factors in the returns on stocks and bonds
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• Dynamic linear models with Markov-switching
• A multivariate Markov chain stock model
• Systems of seemingly unrelated regression equations with time varying coefficients -- an interplay of Kalman filtering, scoring, EM- and MINQUE-method
• DIVIDENDS AND COMPOUND POISSON PROCESSES: A NEW STOCHASTIC STOCK PRICE MODEL

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