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The Kalman Filter in Finance by C. Wells (Paperback, 2010)

About this product

About this product

Product Information

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.

Product Identifiers

Publisher
Springer
ISBN-13
9789048146307
eBay Product ID (ePID)
178345589

Product Key Features

Author
C. Wells
Publication Name
The Kalman Filter in Finance
Format
Paperback
Language
English
Subject
Economics, Government, Finance, Computer Science, Mathematics
Publication Year
2010
Type
Textbook
Number of Pages
172 Pages

Dimensions

Item Height
240mm
Item Width
160mm
Volume
32
Item Weight
300g

Additional Product Features

Title_Author
C. Wells
Series Title
Advanced Studies in Theoretical and Applied Econometrics
Country/Region of Manufacture
Netherlands

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