Applications of State Space Models in Finance : An Empirical Analysis of the Time-varying Relationship between Macroeconomics, Fundamentals and Pan-European Industry Portfolios
State space models play a key role in the estimation of time-varying sensitivities in financial markets. The objective of this book is to analyze the relative merits of modern time series techniques, such as Markov regime switching and the Kalman filter, to model structural changes in the context of widely used concepts in finance.