State space methods in asset pricing

DOI10.1016/0898-1221(89)90109-0zbMath0683.90020OpenAlexW2037527732MaRDI QIDQ1825112

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

financenonparametric testArbitrage Pricing Theorysystem-theoretic time series approach

Mathematics Subject Classification ID

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

Cites Work

• A method for approximate representation of vector-valued time series and its relation to two alternatives
• System theoretic time series: An application to inventories and prices of California range cattle
• An instrumental variables interpretation of linear systems theory estimation
• A two-step state space time series modeling method
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Funds, Factors, and Diversification in Arbitrage Pricing Models
• Unnamed Item
• Unnamed Item

This page was built for publication: State space methods in asset pricing