The Kalman Filter in Finance di C. Wells edito da Springer Netherlands
Alta reperibilità

The Kalman Filter in Finance

EAN:

9789048146307

ISBN:

9048146305

Pagine:
192
Formato:
Paperback
Lingua:
Inglese
Acquistabile con o la

Descrizione The Kalman Filter in Finance

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.

Spedizione gratuita
€ 123.50€ 130.00
Risparmi:€ 6.50(5%)
o 3 rate da € 41.17 senza interessi con
Disponibile in 10-12 giorni
servizio Prenota Ritiri su libro The Kalman Filter in Finance
Prenota e ritira
Scegli il punto di consegna e ritira quando vuoi

Recensioni degli utenti

e condividi la tua opinione con gli altri utenti