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The Kalman Filter in Finance (Advanced Studies in Theoretical and Applied Econometrics, 32) - Hardcover
Synopsis
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 book concludes with further examples of how the Kalman filter may be used in estimation models used in analyzing other aspects of finance.
Since both the programs and the data used in the book are available for downloading, the book is especially valuable for students and other researchers interested in learning the art of modeling with time varying coefficients.
"synopsis" may belong to another edition of this title.
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Kalman Filter in Finance
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The Kalman Filter in Finance (Advanced Studies in Theoretical and Applied Econometrics, 32)
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The Kalman Filter in Finance (Advanced Studies in Theoretical and Applied Econometrics, 32)
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The Kalman Filter in Finance
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Springer Netherlands Nov 1995, 1995
ISBN 10: 0792337719
ISBN 13: 9780792337713
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Buch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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 book concludes with further examples of how the Kalman filter may be used in estimation models used in analyzing other aspects of finance. Since both the programs and the data used in the book are available for downloading, the book is especially valuable for students and other researchers interested in learning the art of modeling with time varying coefficients. 192 pp. Englisch. Seller Inventory # 9780792337713
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Kalman Filter in Finance
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The Kalman Filter in Finance
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Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. 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 b. Seller Inventory # 5967616
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The Kalman Filter in Finance
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The Kalman Filter in Finance
Published by
Springer Netherlands, Springer Netherlands, 1995
ISBN 10: 0792337719
ISBN 13: 9780792337713
New
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Buch. Condition: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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 book concludes with further examples of how the Kalman filter may be used in estimation models used in analyzing other aspects of finance. Since both the programs and the data used in the book are available for downloading, the book is especially valuable for students and other researchers interested in learning the art of modeling with time varying coefficients. Seller Inventory # 9780792337713
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The Kalman Filter in Finance
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Condition: New. Print on Demand pp. 192 52:B&W 6.14 x 9.21in or 234 x 156mm (Royal 8vo) Case Laminate on White w/Gloss Lam. Seller Inventory # 7561735
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