The Kalman Filter in Finance - Advanced Studies in Theoretical and Applied Econometrics - C. Wells - Books - Springer - 9780792337713 - November 30, 1995
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C. Wells
The Kalman Filter in Finance - Advanced Studies in Theoretical and Applied Econometrics 1996 edition

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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.

172 pages, biography

Media Books     Hardcover Book   (Book with hard spine and cover)
Released November 30, 1995
ISBN13 9780792337713
Publishers Springer
Pages 172
Dimensions 159 × 240 × 17 mm   ·   467 g
Language English  

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