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 co...

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Bibliographic Details

Main Author:	Wells, Curt
Corporate Author:	SpringerLink (Online service)
Format:	eBook
Language:	English
Published:	Dordrecht : Springer Netherlands, 1996.
Series:	Advanced studies in theoretical and applied econometrics ; 32.
Subjects:	Economics. System theory. Statistics. Economics > Statistics. Econometrics. Electronic books.
Online Access:	Connect to the full text of this electronic book