| 书目名称 | The Kalman Filter in Finance |
| 编辑 | Curt Wells |
| 视频video | |
| 丛书名称 | Advanced Studies in Theoretical and Applied Econometrics |
| 图书封面 |  |
| 描述 | A non-technical introduction to the question of modeling withtime-varying parameters, using the .beta. coefficient fromFinancial Economics as the main example. After a brief introduction tothis coefficient for those not versed in finance, the book presents anumber of rather well known tests for constant coefficients and thenperforms these tests on data from the Stockholm Exchange. The Kalmanfilter is then introduced and a simple example is used to demonstratethe power of the filter. The filter is then used to estimate themarket model with time-varying .betas.. The book concludes withfurther examples of how the Kalman filter may be used in estimationmodels used in analyzing other aspects of finance. .Since both the programs and the data used in the book are availablefor downloading, the book is especially valuable for students andother researchers interested in learning the art of modeling with timevarying coefficients. |
| 出版日期 | Book 1996 |
| 关键词 | Finance; financial economics; modeling; stability |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-94-015-8611-5 |
| isbn_softcover | 978-90-481-4630-7 |
| isbn_ebook | 978-94-015-8611-5Series ISSN 1570-5811 Series E-ISSN 2214-7977 |
| issn_series | 1570-5811 |
| copyright | Springer Science+Business Media B.V. 1996 |
发表于 2025-3-21 18:02:42
