{"id":"https://openalex.org/W948096929","doi":"https://doi.org/10.17875/gup2009-216","title":"Applications of State Space Models in finance","display_name":"Applications of State Space Models in finance","publication_year":2009,"publication_date":"2009-01-01","ids":{"openalex":"https://openalex.org/W948096929","doi":"https://doi.org/10.17875/gup2009-216","mag":"948096929"},"language":"en","primary_location":{"id":"doi:10.17875/gup2009-216","doi":"https://doi.org/10.17875/gup2009-216","is_oa":true,"landing_page_url":"https://doi.org/10.17875/gup2009-216","pdf_url":"https://www.univerlag.uni-goettingen.de/bitstream/3/isbn-978-3-941875-22-7/1/mergner.pdf","source":null,"license":"cc-by-nd","license_id":"https://openalex.org/licenses/cc-by-nd","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":null,"raw_type":"monograph"},"volume":null,"type":"book","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"gold","oa_url":"https://www.univerlag.uni-goettingen.de/bitstream/3/isbn-978-3-941875-22-7/1/mergner.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5023880370","display_name":"Sascha Mergner","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Sascha Mergner","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":["https://openalex.org/A5023880370"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.2509,"has_fulltext":true,"cited_by_count":26,"citation_normalized_percentile":{"value":0.68409261,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":93,"max":98},"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9951000213623047,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9951000213623047,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.0010999999940395355,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.0010999999940395355,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/state-space-models","display_name":"state-space model","score":0.9909999966621399},{"id":"https://openalex.org/keywords/financial-time-series","display_name":"financial time series","score":0.5979999899864197},{"id":"https://openalex.org/keywords/stock-returns","display_name":"stock returns","score":0.4880000054836273},{"id":"https://openalex.org/keywords/sector-returns","display_name":"sector returns","score":0.5910000205039978},{"id":"https://openalex.org/keywords/hidden-markov-models","display_name":"hidden Markov models","score":0.8809999823570251},{"id":"https://openalex.org/keywords/conditional-volatility","display_name":"conditional variance","score":0.5759999752044678},{"id":"https://openalex.org/keywords/conditional-beta","display_name":"conditional beta","score":0.6069999933242798},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"stochastic volatility","score":0.9480000138282776},{"id":"https://openalex.org/keywords/heteroscedasticity","display_name":"heteroscedasticity","score":0.6809999942779541},{"id":"https://openalex.org/keywords/abnormal-returns","display_name":"abnormal returns","score":0.42899999022483826},{"id":"https://openalex.org/keywords/autocorrelation","display_name":"autocorrelation","score":0.5130000114440918},{"id":"https://openalex.org/keywords/log-returns","display_name":"log returns","score":0.4050000011920929},{"id":"https://openalex.org/keywords/generalized-random-walk","display_name":"generalized random walk","score":0.5260000228881836},{"id":"https://openalex.org/keywords/insurance-industry","display_name":"insurance industry","score":0.453000009059906},{"id":"https://openalex.org/keywords/technology-industry","display_name":"technology industry","score":0.6880000233650208}],"concepts":[{"id":"https://openalex.org/C72434380","wikidata":"https://www.wikidata.org/wiki/Q230930","display_name":"State space","level":2,"score":0.5429636240005493},{"id":"https://openalex.org/C48103436","wikidata":"https://www.wikidata.org/wiki/Q599031","display_name":"State (computer science)","level":2,"score":0.5126554369926453},{"id":"https://openalex.org/C2778572836","wikidata":"https://www.wikidata.org/wiki/Q380933","display_name":"Space (punctuation)","level":2,"score":0.44811517000198364},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.37169793248176575},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.3475533425807953},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.2508441209793091},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.17332974076271057},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.07918119430541992},{"id":"https://openalex.org/C111919701","wikidata":"https://www.wikidata.org/wiki/Q9135","display_name":"Operating system","level":1,"score":0.05305108428001404},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.05217844247817993}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.17875/gup2009-216","doi":"https://doi.org/10.17875/gup2009-216","is_oa":true,"landing_page_url":"https://doi.org/10.17875/gup2009-216","pdf_url":"https://www.univerlag.uni-goettingen.de/bitstream/3/isbn-978-3-941875-22-7/1/mergner.pdf","source":null,"license":"cc-by-nd","license_id":"https://openalex.org/licenses/cc-by-nd","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":null,"raw_type":"monograph"},{"id":"pmh:oai:goescholar:1/5122","doi":null,"is_oa":true,"landing_page_url":"http://resolver.sub.uni-goettingen.de/purl?gs-1/5122","pdf_url":null,"source":{"id":"https://openalex.org/S4306401634","display_name":"GoeScholar  The Publication Server of the Georg-August-Universit\u00e4t G\u00f6ttingen (Georg-August-Universit\u00e4t G\u00f6ttingen)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I4210122495","host_organization_name":"Asklepios Klinik St. Georg","host_organization_lineage":["https://openalex.org/I4210122495"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-nd","license_id":"https://openalex.org/licenses/cc-by-nd","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"monograph"},{"id":"pmh:oai:publications.goettingen-research-online.de:2/14211","doi":null,"is_oa":true,"landing_page_url":"https://resolver.sub.uni-goettingen.de/purl?gs-1/5122","pdf_url":null,"source":{"id":"https://openalex.org/S7407055187","display_name":"GRO","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-nd","license_id":"https://openalex.org/licenses/cc-by-nd","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"info:eu-repo/semantics/book"}],"best_oa_location":{"id":"doi:10.17875/gup2009-216","doi":"https://doi.org/10.17875/gup2009-216","is_oa":true,"landing_page_url":"https://doi.org/10.17875/gup2009-216","pdf_url":"https://www.univerlag.uni-goettingen.de/bitstream/3/isbn-978-3-941875-22-7/1/mergner.pdf","source":null,"license":"cc-by-nd","license_id":"https://openalex.org/licenses/cc-by-nd","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":null,"raw_type":"monograph"},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W948096929.pdf","grobid_xml":"https://content.openalex.org/works/W948096929.grobid-xml"},"referenced_works_count":307,"referenced_works":["https://openalex.org/W47906050","https://openalex.org/W66483636","https://openalex.org/W71201577","https://openalex.org/W76127718","https://openalex.org/W228672351","https://openalex.org/W982383590","https://openalex.org/W1001258003","https://openalex.org/W1215810628","https://openalex.org/W1481146996","https://openalex.org/W1488001421","https://openalex.org/W1494406182","https://openalex.org/W1496573113","https://openalex.org/W1507378142","https://openalex.org/W1511098757","https://openalex.org/W1528407481","https://openalex.org/W1531653575","https://openalex.org/W1540262613","https://openalex.org/W1548637214","https://openalex.org/W1553545751","https://openalex.org/W1555092484","https://openalex.org/W1566395535","https://openalex.org/W1567529703","https://openalex.org/W1571776175","https://openalex.org/W1573041115","https://openalex.org/W1576326745","https://openalex.org/W1583823036","https://openalex.org/W1590326324","https://openalex.org/W1600000501","https://openalex.org/W1683055710","https://openalex.org/W1813388215","https://openalex.org/W1839766954","https://openalex.org/W1856723597","https://openalex.org/W1879215575","https://openalex.org/W1899604506","https://openalex.org/W1901986983","https://openalex.org/W1963718895","https://openalex.org/W1967872601","https://openalex.org/W1971052794","https://openalex.org/W1972457796","https://openalex.org/W1973547045","https://openalex.org/W1975138225","https://openalex.org/W1975161917","https://openalex.org/W1977480757","https://openalex.org/W1978002942","https://openalex.org/W1978990971","https://openalex.org/W1981454469","https://openalex.org/W1983168418","https://openalex.org/W1984469138","https://openalex.org/W1985148971","https://openalex.org/W1985327236","https://openalex.org/W1985500221","https://openalex.org/W1986395918","https://openalex.org/W1988285785","https://openalex.org/W1990511164","https://openalex.org/W1991133427","https://openalex.org/W1991241634","https://openalex.org/W1991716021","https://openalex.org/W1992700566","https://openalex.org/W1992819453","https://openalex.org/W1993149050","https://openalex.org/W1995474931","https://openalex.org/W1995834279","https://openalex.org/W1995864121","https://openalex.org/W1998677466","https://openalex.org/W1998968611","https://openalex.org/W1999029409","https://openalex.org/W1999678062","https://openalex.org/W1999814123","https://openalex.org/W1999996900","https://openalex.org/W2006808353","https://openalex.org/W2007321142","https://openalex.org/W2009358468","https://openalex.org/W2010681793","https://openalex.org/W2010747041","https://openalex.org/W2013109882","https://openalex.org/W2014333695","https://openalex.org/W2015800048","https://openalex.org/W2015856032","https://openalex.org/W2016115088","https://openalex.org/W2017059355","https://openalex.org/W2019803797","https://openalex.org/W2020848945","https://openalex.org/W2020999234","https://openalex.org/W2022597142","https://openalex.org/W2023240121","https://openalex.org/W2025262040","https://openalex.org/W2027133158","https://openalex.org/W2028598746","https://openalex.org/W2029056003","https://openalex.org/W2030049427","https://openalex.org/W2031123121","https://openalex.org/W2032666264","https://openalex.org/W2037371503","https://openalex.org/W2041343558","https://openalex.org/W2042286782","https://openalex.org/W2045133813","https://openalex.org/W2045411880","https://openalex.org/W2046357557","https://openalex.org/W2049633694","https://openalex.org/W2051632313","https://openalex.org/W2052441401","https://openalex.org/W2054599015","https://openalex.org/W2056779374","https://openalex.org/W2058815839","https://openalex.org/W2060499947","https://openalex.org/W2061160212","https://openalex.org/W2062337947","https://openalex.org/W2063593194","https://openalex.org/W2063750298","https://openalex.org/W2065311909","https://openalex.org/W2072041292","https://openalex.org/W2074812030","https://openalex.org/W2075628905","https://openalex.org/W2076209196","https://openalex.org/W2077394003","https://openalex.org/W2079241824","https://openalex.org/W2079672223","https://openalex.org/W2081129199","https://openalex.org/W2081441334","https://openalex.org/W2083148578","https://openalex.org/W2085591763","https://openalex.org/W2086699924","https://openalex.org/W2087284982","https://openalex.org/W2087964979","https://openalex.org/W2089454283","https://openalex.org/W2090637028","https://openalex.org/W2098823293","https://openalex.org/W2101786721","https://openalex.org/W2103139809","https://openalex.org/W2103448947","https://openalex.org/W2104338016","https://openalex.org/W2104795328","https://openalex.org/W2104964789","https://openalex.org/W2105934661","https://openalex.org/W2106798814","https://openalex.org/W2107335183","https://openalex.org/W2108519545","https://openalex.org/W2109254281","https://openalex.org/W2109596131","https://openalex.org/W2111034925","https://openalex.org/W2113305199","https://openalex.org/W2115479558","https://openalex.org/W2115724285","https://openalex.org/W2116277545","https://openalex.org/W2116347131","https://openalex.org/W2116402578","https://openalex.org/W2117853077","https://openalex.org/W2117999380","https://openalex.org/W2118775685","https://openalex.org/W2120641249","https://openalex.org/W2122016003","https://openalex.org/W2125520394","https://openalex.org/W2125838338","https://openalex.org/W2128475248","https://openalex.org/W2128937310","https://openalex.org/W2130027097","https://openalex.org/W2130556288","https://openalex.org/W2131177033","https://openalex.org/W2132286633","https://openalex.org/W2132417154","https://openalex.org/W2134807435","https://openalex.org/W2135034406","https://openalex.org/W2136120210","https://openalex.org/W2136400630","https://openalex.org/W2137213799","https://openalex.org/W2142152317","https://openalex.org/W2142911609","https://openalex.org/W2144246192","https://openalex.org/W2144487825","https://openalex.org/W2146188630","https://openalex.org/W2146855196","https://openalex.org/W2147269409","https://openalex.org/W2148848194","https://openalex.org/W2149170345","https://openalex.org/W2150287398","https://openalex.org/W2151564376","https://openalex.org/W2151926297","https://openalex.org/W2152135597","https://openalex.org/W2152804254","https://openalex.org/W2153154181","https://openalex.org/W2153155589","https://openalex.org/W2154307364","https://openalex.org/W2154780983","https://openalex.org/W2157895285","https://openalex.org/W2158488639","https://openalex.org/W2161176263","https://openalex.org/W2161314179","https://openalex.org/W2163763815","https://openalex.org/W2164923280","https://openalex.org/W2164942537","https://openalex.org/W2165173008","https://openalex.org/W2165559086","https://openalex.org/W2166215547","https://openalex.org/W2166414208","https://openalex.org/W2166698530","https://openalex.org/W2169246290","https://openalex.org/W2169480381","https://openalex.org/W2170415678","https://openalex.org/W2171071226","https://openalex.org/W2171409856","https://openalex.org/W2173913116","https://openalex.org/W2233083367","https://openalex.org/W2249254549","https://openalex.org/W2276727999","https://openalex.org/W2280053103","https://openalex.org/W2280131726","https://openalex.org/W2286201810","https://openalex.org/W2571446175","https://openalex.org/W2582743722","https://openalex.org/W2607358096","https://openalex.org/W2615953416","https://openalex.org/W2773066432","https://openalex.org/W2797652052","https://openalex.org/W2797746357","https://openalex.org/W2890230803","https://openalex.org/W2890413200","https://openalex.org/W2891277411","https://openalex.org/W2891337468","https://openalex.org/W2891659561","https://openalex.org/W2922048356","https://openalex.org/W2999729612","https://openalex.org/W3021353747","https://openalex.org/W3021739894","https://openalex.org/W3022619809","https://openalex.org/W3023592043","https://openalex.org/W3023598023","https://openalex.org/W3023688799","https://openalex.org/W3121158336","https://openalex.org/W3121302911","https://openalex.org/W3121339252","https://openalex.org/W3121493468","https://openalex.org/W3121766225","https://openalex.org/W3121918541","https://openalex.org/W3122053167","https://openalex.org/W3122150532","https://openalex.org/W3122311863","https://openalex.org/W3122344187","https://openalex.org/W3122857587","https://openalex.org/W3122870494","https://openalex.org/W3122876099","https://openalex.org/W3123048551","https://openalex.org/W3123110032","https://openalex.org/W3123118666","https://openalex.org/W3123458843","https://openalex.org/W3123598380","https://openalex.org/W3123694964","https://openalex.org/W3123752263","https://openalex.org/W3123928290","https://openalex.org/W3123957507","https://openalex.org/W3124026849","https://openalex.org/W3124154869","https://openalex.org/W3124315446","https://openalex.org/W3124833605","https://openalex.org/W3125027532","https://openalex.org/W3125215452","https://openalex.org/W3125246470","https://openalex.org/W3125360998","https://openalex.org/W3125443963","https://openalex.org/W3125564657","https://openalex.org/W3125835939","https://openalex.org/W3125916168","https://openalex.org/W3140723434","https://openalex.org/W3146331408","https://openalex.org/W4235213111","https://openalex.org/W4238816640","https://openalex.org/W4241115065","https://openalex.org/W4241725939","https://openalex.org/W4244038801","https://openalex.org/W4246390368","https://openalex.org/W4251281949","https://openalex.org/W4252386822","https://openalex.org/W4253573210","https://openalex.org/W4253769606","https://openalex.org/W4285719527","https://openalex.org/W4293877163","https://openalex.org/W4297888513","https://openalex.org/W4298882835","https://openalex.org/W4300449203","https://openalex.org/W4300567850","https://openalex.org/W4301134136","https://openalex.org/W4301717455","https://openalex.org/W4301893865","https://openalex.org/W4302440171","https://openalex.org/W4307492541","https://openalex.org/W4388062655","https://openalex.org/W4388114129","https://openalex.org/W4388114378","https://openalex.org/W4388319747","https://openalex.org/W6635054267","https://openalex.org/W6639950251","https://openalex.org/W6653015301","https://openalex.org/W6654903677","https://openalex.org/W6657482257","https://openalex.org/W6663961426","https://openalex.org/W6664403975","https://openalex.org/W6674739332","https://openalex.org/W6676189643","https://openalex.org/W6681975374","https://openalex.org/W6682746549","https://openalex.org/W6696741278","https://openalex.org/W6812554342","https://openalex.org/W6998564292","https://openalex.org/W7005395797","https://openalex.org/W7023871242","https://openalex.org/W7037644959","https://openalex.org/W7047023850","https://openalex.org/W7048033406"],"related_works":["https://openalex.org/W2346752534","https://openalex.org/W1215810628","https://openalex.org/W7100063602","https://openalex.org/W2525240350","https://openalex.org/W2602819120","https://openalex.org/W3180491759","https://openalex.org/W2288710568","https://openalex.org/W2594117407","https://openalex.org/W1127288382","https://openalex.org/W3038656565"],"abstract_inverted_index":{"State":[0],"space":[1],"models":[2,110],"play":[3],"a":[4,96,101],"key":[5,77],"role":[6],"in":[7,13,45,52,67,70],"the":[8,24,38,46,71,87,90,105,115],"estimation":[9],"of":[10,18,27,48,89,104,107,118],"time-varying":[11,108],"sensitivities":[12],"financial":[14,60,74],"markets.":[15],"The":[16,83],"objective":[17],"this":[19],"book":[20],"is":[21],"to":[22,41,111],"analyze":[23],"relative":[25],"merits":[26],"modern":[28],"time":[29],"series":[30],"techniques,":[31],"such":[32],"as":[33],"Markov":[34],"regime":[35],"switching":[36],"and":[37,62,76,113],"Kalman":[39],"filter,":[40],"model":[42],"structural":[43],"changes":[44],"context":[47],"widely":[49],"used":[50],"concepts":[51],"finance.The":[53],"presented":[54],"material":[55],"will":[56],"be":[57],"useful":[58],"for":[59,121],"economists":[61],"practitioners":[63],"who":[64],"are":[65],"interested":[66],"taking":[68],"time-variation":[69],"relationship":[72],"between":[73],"assets":[75],"economic":[78],"factors":[79],"explicitly":[80],"into":[81],"account.":[82],"empirical":[84],"part":[85],"illustrates":[86],"application":[88],"various":[91],"methods":[92],"under":[93],"consideration.":[94],"As":[95],"distinctive":[97],"feature,":[98],"it":[99],"includes":[100],"comprehensive":[102],"analysis":[103],"ability":[106],"coefficient":[109],"estimate":[112],"predict":[114],"conditional":[116],"nature":[117],"systematic":[119],"risks":[120],"European":[122],"industry":[123],"portfolios.":[124]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2021,"cited_by_count":4},{"year":2020,"cited_by_count":5},{"year":2019,"cited_by_count":2},{"year":2017,"cited_by_count":3},{"year":2016,"cited_by_count":2},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":2},{"year":2013,"cited_by_count":4}],"updated_date":"2026-10-31T12:09:11.096373","created_date":"2016-06-24T00:00:00"}