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The Kalman Filter in Finance (Advanced Studies in Theoretical and Applied Econometrics) (Advanced Studies in Theoretical and Applied Econometrics, 32, Band 32) - Wells, Curt
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The Kalman Filter in Finance (Advanced Studies in Theoretical and Applied Econometrics) (Advanced Studies in Theoretical and Applied Econometrics, 32, Band 32) - Livres de poche

2010, ISBN: 9789048146307

Springer, Taschenbuch, Auflage: Softcover reprint of hardcover 1st ed. 1996, 192 Seiten, Publiziert: 2010-12-06T00:00:01Z, Produktgruppe: Buch, Hersteller-Nr.: biography, 0.28 kg, Recht, … Plus…

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The Kalman Filter in Finance (Advanced Studies in Theoretical and Applied Econometrics) (Advanced Studies in Theoretical and Applied Econometrics, 32, Band 32) - Wells, Curt
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Wells, Curt:

The Kalman Filter in Finance (Advanced Studies in Theoretical and Applied Econometrics) (Advanced Studies in Theoretical and Applied Econometrics, 32, Band 32) - Livres de poche

2010, ISBN: 9789048146307

Springer, Taschenbuch, Auflage: Softcover reprint of hardcover 1st ed. 1996, 192 Seiten, Publiziert: 2010-12-06T00:00:01Z, Produktgruppe: Buch, Hersteller-Nr.: biography, 0.28 kg, Recht, … Plus…

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The Kalman Filter in Finance (Advanced Studies in Theoretical and Applied Econometrics) (Advanced Studies in Theoretical and Applied Econometrics, 32, Band 32) - Wells, Curt
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The Kalman Filter in Finance (Advanced Studies in Theoretical and Applied Econometrics) (Advanced Studies in Theoretical and Applied Econometrics, 32, Band 32) - Livres de poche

2010

ISBN: 9789048146307

Springer, Taschenbuch, Auflage: Softcover reprint of hardcover 1st ed. 1996, 192 Seiten, Publiziert: 2010-12-06T00:00:01Z, Produktgruppe: Buch, Hersteller-Nr.: biography, 0.61 kg, Recht, … Plus…

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The Kalman Filter in Finance (Advanced Studies in Theoretical and Applied Econometrics) (Advanced Studies in Theoretical and Applied Econometrics, 32, Band 32) - Wells, Curt
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Wells, Curt:
The Kalman Filter in Finance (Advanced Studies in Theoretical and Applied Econometrics) (Advanced Studies in Theoretical and Applied Econometrics, 32, Band 32) - Livres de poche

2010, ISBN: 9789048146307

Springer, Taschenbuch, Auflage: Softcover reprint of hardcover 1st ed. 1996, 192 Seiten, Publiziert: 2010-12-06T00:00:01Z, Produktgruppe: Buch, Hersteller-Nr.: biography, 0.61 kg, Recht, … Plus…

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The Kalman Filter in Finance - C. Wells
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C. Wells:
The Kalman Filter in Finance - Livres de poche

2010, ISBN: 9789048146307

Buch, Softcover, Softcover reprint of hardcover 1st ed. 1996, [PU: Springer], Springer, 2010

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The Kalman Filter in Finance (Advanced Studies in Theoretical and Applied Econometrics) (Advanced Studies in Theoretical and Applied Econometrics, 32, Band 32)
Auteur:
Titre:
ISBN:

9789048146307


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.

Informations détaillées sur le livre - The Kalman Filter in Finance (Advanced Studies in Theoretical and Applied Econometrics) (Advanced Studies in Theoretical and Applied Econometrics, 32, Band 32)


EAN (ISBN-13): 9789048146307
ISBN (ISBN-10): 9048146305
Version reliée
Livre de poche
Date de parution: 2010
Editeur: Springer
192 Pages
Poids: 0,299 kg
Langue: eng/Englisch

Livre dans la base de données depuis 2011-01-22T03:21:19+01:00 (Paris)
Page de détail modifiée en dernier sur 2024-02-05T12:44:48+01:00 (Paris)
ISBN/EAN: 9789048146307

ISBN - Autres types d'écriture:
90-481-4630-5, 978-90-481-4630-7
Autres types d'écriture et termes associés:
Auteur du livre: wells
Titre du livre: beyond the kalman filter, studies

Données de l'éditeur

Auteur: C. Wells
Titre: Advanced Studies in Theoretical and Applied Econometrics; The Kalman Filter in Finance
Editeur: Springer; Springer Netherland
172 Pages
Date de parution: 2010-12-05
Dordrecht; NL
Imprimé / Fabriqué en
Langue: Anglais
106,99 € (DE)
109,99 € (AT)
118,00 CHF (CH)
POD
XVI, 172 p.

BC; Hardcover, Softcover / Wirtschaft/Volkswirtschaft; Ökonometrie und Wirtschaftsstatistik; Verstehen; Finance; financial economics; modeling; stability; Econometrics; Financial Economics; Statistics; Systems Theory, Control; Statistics in Business, Management, Economics, Finance, Insurance; Finanzenwesen und Finanzindustrie; Wahrscheinlichkeitsrechnung und Statistik; Kybernetik und Systemtheorie; Wirtschaftswissenschaft, Finanzen, Betriebswirtschaft und Management; BB

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.

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