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The Kalman Filter in Finance: 32 (Advanced Studies in Theoretical and Applied Econometrics) - Hardcover
Inhaltsangabe
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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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.
„Über diesen Titel“ kann sich auf eine andere Ausgabe dieses Titels beziehen.
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The Kalman Filter in Finance
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Zustand: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. 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 b. Bestandsnummer des Verkäufers 5967616
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The Kalman Filter in Finance
Verlag:
Springer Netherlands, Springer Netherlands Nov 1995, 1995
ISBN 10: 0792337719
ISBN 13: 9780792337713
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Buch. Zustand: Neu. Neuware -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.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 192 pp. Englisch. Bestandsnummer des Verkäufers 9780792337713
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The Kalman Filter in Finance
Verlag:
Springer Netherlands Nov 1995, 1995
ISBN 10: 0792337719
ISBN 13: 9780792337713
Neu
Hardcover
Anbieter: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Deutschland
Verkäuferbewertung 5 von 5 Sternen
Buch. Zustand: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 192 pp. Englisch. Bestandsnummer des Verkäufers 9780792337713
Anzahl: 2 verfügbar
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The Kalman Filter in Finance
Verlag:
Springer Netherlands, Springer Netherlands, 1995
ISBN 10: 0792337719
ISBN 13: 9780792337713
Neu
Hardcover
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Verkäuferbewertung 5 von 5 Sternen
Buch. Zustand: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. Bestandsnummer des Verkäufers 9780792337713
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Kalman Filter in Finance
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The Kalman Filter in Finance (Advanced Studies in Theoretical and Applied Econometrics, 32)
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The Kalman Filter in Finance (Advanced Studies in Theoretical and Applied Econometrics, 32)
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