State space methods in asset pricing

DOI10.1016/0898-1221(89)90109-0MaRDI QIDQ1825112zbMATH OpenOpenAlexFDO

Authors M. Cerchi

Publication date 1989

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0898-1221(89)90109-0

zbMATH Keywords

Arbitrage Pricing Theoryfinancenonparametric testsystem-theoretic time series approach

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62) Economic time series analysis (91B84)

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Cites work

• A method for approximate representation of vector-valued time series and its relation to two alternatives
• A two-step state space time series modeling method
• An instrumental variables interpretation of linear systems theory estimation
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Funds, Factors, and Diversification in Arbitrage Pricing Models
• scientific article; zbMATH DE number 3980305 (Why is no real title available?)
• scientific article; zbMATH DE number 3728060 (Why is no real title available?)
• System theoretic time series: An application to inventories and prices of California range cattle

Cited in

(3)

• State preference theory and asset pricing. An introduction
• Semi-strong dynamic style analysis with time-varying selectivity measurement: Applications to Brazilian exchange-rate funds
• State space approach to the term structure of interest rates

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