ENGLISH

The Kalman Filter in Finance

By Curt Wells (auth.)

Book information

Publisher
Springer Netherlands
Year
1996
ISBN
978-90-481-4630-7, 978-94-015-8611-5
DOI
10.1007/978-94-015-8611-5
Language
english
Format
PDF
Filesize
5 MB (4809557 bytes)
Series
Advanced Studies in Theoretical and Applied Econometrics 32
Edition
1
Pages
172\180
Orientation
yes
Scanned
yes
Time added
2013-08-01 04:00:00
Control; Statistics for Business/Economics/MathemaEconometrics; Finance/Investment/Banking; Statistigeneral; Systems Theory

Description

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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