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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) - Livro de bolso

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, … mais…

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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) - Livro de bolso

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, … mais…

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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) - Livro de bolso

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, … mais…

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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) - Livro de bolso

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, … mais…

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The Kalman Filter in Finance - C. Wells
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C. Wells:
The Kalman Filter in Finance - Livro de bolso

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)
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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.

Dados detalhados do livro - 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
Livro de capa dura
Livro de bolso
Ano de publicação: 2010
Editor/Editora: Springer
192 Páginas
Peso: 0,299 kg
Língua: eng/Englisch

Livro na base de dados desde 2011-01-22T02:21:19+00:00 (Lisbon)
Página de detalhes modificada pela última vez em 2024-02-05T11:44:48+00:00 (Lisbon)
Número ISBN/EAN: 9789048146307

Número ISBN - Ortografia alternativa:
90-481-4630-5, 978-90-481-4630-7
Ortografia alternativa e termos de pesquisa relacionados:
Autor do livro: wells
Título do livro: beyond the kalman filter, studies

Dados da editora

Autor: C. Wells
Título: Advanced Studies in Theoretical and Applied Econometrics; The Kalman Filter in Finance
Editora: Springer; Springer Netherland
172 Páginas
Ano de publicação: 2010-12-05
Dordrecht; NL
Impresso / Feito em
Língua: Inglês
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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