The Kalman Filter in Finance by C. Wells (English) Hardcover Book

Description: 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. The book concludes with further examples of how the Kalman filter may be used in estimation models used in analyzing other aspects of finance. FORMAT Hardcover LANGUAGE English CONDITION Brand New Publisher Description A non-technical introduction to the question of modelling 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 text presents a number of 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 should be useful for students and other researchers interested in learning the art of modelling with time varying coefficients. 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. Long Description 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. Details ISBN0792337719 Publisher Springer Language English ISBN-10 0792337719 ISBN-13 9780792337713 Media Book Format Hardcover Series Number 32 Year 1995 Publication Date 1995-11-30 Place of Publication Dordrecht Short Title KALMAN FILTER IN FINANCE 1996/ Pages 172 Imprint Springer Country of Publication Netherlands DOI 10.1023/b109133;10.1007/978-94-015-8611-5 Author C. Wells Edition Description 1996 ed. Series Advanced Studies in Theoretical and Applied Econometrics Edition 1996th Alternative 9789048146307 DEWEY 332.015195 Illustrations XVI, 172 p. Audience Postgraduate, Research & Scholarly We've got this At The Nile, if you're looking for it, we've got it. With fast shipping, low prices, friendly service and well over a million items - you're bound to find what you want, at a price you'll love! TheNile_Item_ID:96224277;

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