The Kalman Filter in Finance - Advanced Studies in Theoretical and Applied Econometrics 32 (Hardback)
  • The Kalman Filter in Finance - Advanced Studies in Theoretical and Applied Econometrics 32 (Hardback)
zoom

The Kalman Filter in Finance - Advanced Studies in Theoretical and Applied Econometrics 32 (Hardback)

(author)
£129.99
Hardback 172 Pages / Published: 30/11/1995
  • We can order this

Usually dispatched within 3 weeks

  • This item has been added to your basket
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.

Publisher: Springer
ISBN: 9780792337713
Number of pages: 172
Weight: 990 g
Dimensions: 234 x 156 x 12 mm
Edition: 1996 ed.

You may also be interested in...

Mostly Harmless Econometrics
Added to basket
Mastering 'Metrics
Added to basket
Econometrics For Dummies
Added to basket
Econometrics
Added to basket
£38.00
Hardback
Time Series Analysis
Added to basket
Using Statistics in Economics
Added to basket
Essentials of Econometrics (Int'l Ed)
Added to basket
Inequality and Instability
Added to basket
Naked Statistics
Added to basket
£12.99
Paperback
Statistics for Business and Economics
Added to basket
A Guide to Econometrics
Added to basket
Introductory Econometrics for Finance
Added to basket

Reviews

Please sign in to write a review

Your review has been submitted successfully.