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The Kalman filter in finance

Author: Curt Wells
Publisher: Dordrecht [Netherlands] ; Boston [Mass.] : Kluwer Academic Publishers, 1996.
Series: Advanced studies in theoretical and applied econometrics, v. 32.
Edition/Format:   Print book : EnglishView all editions and formats
Database:WorldCat
Summary:

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  Read more...

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Curt Wells
ISBN: 0792337719 9780792337713
OCLC Number: 33133060
Description: xvi, 169 pages : illustrations ; 25 cm.
Contents: Preface. 1. Introduction. 2. Test 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. B. The programs and the data. Bibliography. Index.
Series Title: Advanced studies in theoretical and applied econometrics, v. 32.
Responsibility: by Curt Wells.
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