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Bag om Kalman Filter in Finance

A non-technical introduction to the question of modeling with time-varying parameters, using the beta coefficient from Financial Economics as the main example. The book concludes with further examples of how the Kalman filter may be used in estimation models used in analyzing other aspects of finance.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9780792337713
  • Indbinding:
  • Hardback
  • Sideantal:
  • 172
  • Udgivet:
  • 30. november 1995
  • Udgave:
  • 1996
  • Størrelse:
  • 240x159x17 mm.
  • Vægt:
  • 428 g.
  • BLACK NOVEMBER
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Leveringstid: 8-11 hverdage
Forventet levering: 21. november 2024

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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. The book concludes with further examples of how the Kalman filter may be used in estimation models used in analyzing other aspects of finance.

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