Isbn: 9780792337713 - the Kalman Filter in Finance (advanced Studies in Theoretical and Applied Econometrics, 32) (16 results)

Condition: New.

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Condition: New. In English.

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Condition: New. 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. . 1995. Hardback. . . . .…

Condition: New. pp. 192.

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.…

Condition: New. 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. . 1995. Hardback. . . . . Books ship from the US and Ireland.…

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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.…

Gebunden. 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.…

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.

Condition: New. PRINT ON DEMAND pp. 192.

Buch. Condition: Neu. This item is printed on demand - Print on Demand Titel. 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.Springer-Verlag KG, Sachsenplatz 4-6, 1201 Wien 192 pp. Englisch.…