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)
Online Access:Click to view e-book
Holy Cross Note:Loaded electronically.
Electronic access restricted to members of the Holy Cross Community.
Table of Contents:
  • 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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