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The Kalman Filter in Finance (Paperback, Softcover reprint of hardcover 1st ed. 1996)
Loot Price: R2,925
Discovery Miles 29 250
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The Kalman Filter in Finance (Paperback, Softcover reprint of hardcover 1st ed. 1996)
Series: Advanced Studies in Theoretical and Applied Econometrics, 32
Expected to ship within 10 - 15 working days
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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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