Kalman Filter in Finance, Paperback by Wells, C., Like New Used, Free shippin...
$ 63.61
Description
Kalman Filter in Finance, Paperback by Wells, C., Like New Used, Free shippin.... Beta coefficient from Financial Economics as the main example. The Kalman filter is then introduced and a simple example is used to demonstrate the power of the filter. Th concludes with further examples of how the Kalman filter may be used in estimation models used in analyzing other aspects of finance. Kalman Filter in Finance, Paperback by Wells, C., ISBN 9048146305, ISBN-13 9789048146307, Like New Used, Free shipping in the US 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, th 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. Th 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 th are available for ing, th is especially valuable for students and other researchers interested in learning the art of modeling with time varying coefficients.
