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Kalman Filter in Finance - C. Wells - Bog

Bag om 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. The book concludes with further examples of how the Kalman filter may be used in estimation models used in analyzing other aspects of finance.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9780792337713
  • Indbinding:
  • Hardback
  • Sideantal:
  • 172
  • Udgivet:
  • 30. november 1995
  • Udgave:
  • 1996
  • Størrelse:
  • 240x159x17 mm.
  • Vægt:
  • 428 g.
  • 8-11 hverdage.
  • 22. november 2024
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  • BLACK NOVEMBER

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Prøv i 30 dage for 45 kr.
Herefter fra 79 kr./md. Ingen binding.

Beskrivelse af 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. The book concludes with further examples of how the Kalman filter may be used in estimation models used in analyzing other aspects of finance.

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