Articles liés à The Kalman Filter in Finance
Synopsis
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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The Kalman Filter in Finance
Edité par
Springer Netherlands, 1995
ISBN 10 : 0792337719
ISBN 13 : 9780792337713
Neuf
Couverture rigide
Vendeur : moluna, Greven, Allemagne
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Etat : 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. N° de réf. du vendeur 5967616
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The Kalman Filter in Finance
Edité par
Springer Netherlands Nov 1995, 1995
ISBN 10 : 0792337719
ISBN 13 : 9780792337713
Neuf
Couverture rigide
Vendeur : BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Buch. Etat : 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. N° de réf. du vendeur 9780792337713
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The Kalman Filter in Finance (Advanced Studies in Theoretical and Applied Econometrics, 32)
Vendeur : Ria Christie Collections, Uxbridge, Royaume-Uni
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Kalman Filter in Finance
Vendeur : GreatBookPrices, Columbia, MD, Etats-Unis
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Etat : New. N° de réf. du vendeur 1212181-n
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The Kalman Filter in Finance
Edité par
Springer Netherlands, Springer Netherlands Nov 1995, 1995
ISBN 10 : 0792337719
ISBN 13 : 9780792337713
Neuf
Couverture rigide
Vendeur : buchversandmimpf2000, Emtmannsberg, BAYE, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Buch. Etat : 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. N° de réf. du vendeur 9780792337713
Quantité disponible : 2 disponible(s)
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The Kalman Filter in Finance
Edité par
Springer Netherlands, Springer Netherlands, 1995
ISBN 10 : 0792337719
ISBN 13 : 9780792337713
Neuf
Couverture rigide
Vendeur : AHA-BUCH GmbH, Einbeck, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Buch. Etat : 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. N° de réf. du vendeur 9780792337713
Quantité disponible : 1 disponible(s)
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Kalman Filter in Finance
Vendeur : GreatBookPricesUK, Woodford Green, Royaume-Uni
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The Kalman Filter in Finance
impression à la demandeVendeur : THE SAINT BOOKSTORE, Southport, Royaume-Uni
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Hardback. Etat : New. This item is printed on demand. New copy - Usually dispatched within 5-9 working days 479. N° de réf. du vendeur C9780792337713
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The Kalman Filter in Finance
Vendeur : Books Puddle, New York, NY, Etats-Unis
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Etat : New. pp. 192. N° de réf. du vendeur 26318936
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The Kalman Filter in Finance
impression à la demandeVendeur : Majestic Books, Hounslow, Royaume-Uni
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Etat : New. Print on Demand pp. 192 52:B&W 6.14 x 9.21in or 234 x 156mm (Royal 8vo) Case Laminate on White w/Gloss Lam. N° de réf. du vendeur 7561735
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