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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
The Kalman Filter in Finance

The Kalman Filter in Finance

Wells, C.

Paperback

Series: Advanced Studies in Theoretical and Applied Econometrics, Book 32

EconomicsGeneral MathematicsProbability & Statistics

ISBN10: 9048146305
ISBN13: 9789048146307
Publisher: Springer Nature
Published: Dec 5 2010
Pages: 172
Weight: 0.61
Height: 0.41 Width: 6.14 Depth: 9.21
Language: English
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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