The Kalman Filter in Finance - C. Wells

The Kalman Filter in Finance

(Autor)

Buch | Softcover
172 Seiten
2010 | Softcover reprint of hardcover 1st ed. 1996
Springer (Verlag)
978-90-481-4630-7 (ISBN)
106,99 inkl. MwSt
A non-technical introduction to the question of modeling with time-varying parameters, using the beta coefficient from Financial Economics as the main example. The book concludes with further examples of how the Kalman filter may be used in estimation models used in analyzing other aspects of finance.
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.

1 Introduction.- 2 Tests for parameter stability.- 3 Flexible Least Squares.- 4 The Kalman filter.- 5 Parameter estimation.- 6 The estimates, reconsidered.- 7 Modeling with the Kalman filter.- A Tables of References.- A.1 Stability tests by partitioning data.- A.2 Tests for heteroscedasticity.- A.3 Models in the literature.- B The programs and the data.- B.1 Subroutines.- B.2 The main programs.- B.3 The data.

Erscheint lt. Verlag 5.12.2010
Reihe/Serie Advanced Studies in Theoretical and Applied Econometrics ; 32
Zusatzinfo XVI, 172 p.
Verlagsort Dordrecht
Sprache englisch
Maße 160 x 240 mm
Themenwelt Mathematik / Informatik Informatik Theorie / Studium
Mathematik / Informatik Mathematik Finanz- / Wirtschaftsmathematik
Wirtschaft Allgemeines / Lexika
Wirtschaft Betriebswirtschaft / Management Finanzierung
Wirtschaft Volkswirtschaftslehre Ökonometrie
ISBN-10 90-481-4630-5 / 9048146305
ISBN-13 978-90-481-4630-7 / 9789048146307
Zustand Neuware
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