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.
|Produto sob encomenda||Sim|
|Marca||SPRINGER VERLAG POD|
|Ano da edição||1995|
|Número de Páginas||192|