The Kalman Filter in Finance: 32 (Advanced Studies in Theoretical and Applied Econometrics, 32) - Hardcover

Book 41 of 54: Advanced Studies in Theoretical and Applied Econometrics

Wells, C.

 
9780792337713: The Kalman Filter in Finance: 32 (Advanced Studies in Theoretical and Applied Econometrics, 32)
Hardcover
ISBN 10: 0792337719 ISBN 13: 9780792337713
Publisher: Springer, 1995

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.

Synopsis

This work offers 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.

"About this title" may belong to another edition of this title.

Publisher
Springer
Publication date
1995
Language
English
ISBN 10 
0792337719
ISBN 13 
9780792337713
Binding
Hardcover
Number of pages
188

Other Popular Editions of the Same Title

9789048146307: The Kalman Filter in Finance: 32 (Advanced Studies in Theoretical and Applied Econometrics, 32)

Featured Edition

ISBN 10:  9048146305 ISBN 13:  9789048146307
Publisher: Springer, 2010
Softcover