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THE KALMAN FILTER IN FINANCE: STUDIES IN OPERATIONAL REGIONAL SCIENCE

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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.

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Availability

10000957

330.015195 WEL k

RLC MM (Rak Buku Umum)

Available

Detail Information

Series Title

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Statement of Responsibility

Curt Wells

Call Number

330.015195 WEL k

Publisher

Boston : Kluwer Academic Publisher., 1996

Collation

xvi, 169 p. : ill ; 24cm.

Language

English

ISBN/ISSN

0-7923-3771-9

Classification

330.015195

Content Type

-

Edition

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Subject(s)

Buku Umum
Business Statistics
Statistics
Econometrics

Specific Detail Info

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