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The Kalman Filter In Finance
Curt Wells
€ 126.78
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Description for The Kalman Filter In Finance
Hardback. Offers a non-technical introduction to the question of modeling with time-varying parameters. This book presents a number of tests for constant coefficients and then performs these tests on data from the Stockholm Exchange. It shows how the Kalman filter may be used in estimation models used in analyzing other aspects of finance. Series: Advanced Studies in Theoretical and Applied Econometrics. Num Pages: 188 pages, biography. BIC Classification: KCH; KFF. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly. Dimension: 240 x 159 x 17. Weight in Grams: 428.
A non-technical introduction to the question of modeling with time-varying parameters, using the beta coefficient from Financial Economics as the main example. After a brief introduction to this coefficient for those not versed in finance, the book presents a number of rather well known tests for constant coefficients and then performs these tests on data from the Stockholm Exchange. The Kalman filter is then introduced and a simple example is used to demonstrate the power of the filter. The filter is then used to estimate the market model with time-varying betas. The ... Read more
A non-technical introduction to the question of modeling with time-varying parameters, using the beta coefficient from Financial Economics as the main example. After a brief introduction to this coefficient for those not versed in finance, the book presents a number of rather well known tests for constant coefficients and then performs these tests on data from the Stockholm Exchange. The Kalman filter is then introduced and a simple example is used to demonstrate the power of the filter. The filter is then used to estimate the market model with time-varying betas. The ... Read more
Product Details
Format
Hardback
Publication date
1995
Publisher
Kluwer Academic Publishers United States
Number of pages
188
Condition
New
Series
Advanced Studies in Theoretical and Applied Econometrics
Number of Pages
172
Place of Publication
Dordrecht, Netherlands
ISBN
9780792337713
SKU
V9780792337713
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
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