The Kalman Filter in Finance

The Kalman Filter in Finance by C. Wells.

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 co...

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Bibliographic Details
Main Author: Wells, C. (Author)
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Dordrecht : Springer Netherlands : Imprint: Springer, 1996.
Edition:1st ed. 1996.
Series:Advanced Studies in Theoretical and Applied Econometrics, 32
Springer eBook Collection.
Subjects:
Econometrics.
Finance.
Statistics .
System theory.
Electronic resources (E-books)
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