The Kalman Filter in Finance

  • Curt Wells

Part of the Advanced Studies in Theoretical and Applied Econometrics book series (ASTA, volume 32)

Table of contents

  1. Front Matter
    Pages i-xvi
  2. Curt Wells
    Pages 1-24
  3. Curt Wells
    Pages 25-61
  4. Curt Wells
    Pages 63-74
  5. Curt Wells
    Pages 75-88
  6. Curt Wells
    Pages 89-118
  7. Curt Wells
    Pages 119-131
  8. Curt Wells
    Pages 133-146
  9. Back Matter
    Pages 147-172

About this book

Introduction

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.

Keywords

Finance financial economics modeling stability

Authors and affiliations

  • Curt Wells
    • 1
  1. 1.University of LundSweden

Bibliographic information

  • DOI https://doi.org/10.1007/978-94-015-8611-5
  • Copyright Information Springer Science+Business Media B.V. 1996
  • Publisher Name Springer, Dordrecht
  • eBook Packages Springer Book Archive
  • Print ISBN 978-90-481-4630-7
  • Online ISBN 978-94-015-8611-5
  • Series Print ISSN 1570-5811
  • About this book
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