{"product_id":"9780792337713","title":"The Kalman Filter in Finance","description":"\u003ch1\u003eThe Kalman Filter in Finance\u003c\/h1\u003e \u003ch2\u003eWells, C.\u003c\/h2\u003e \u003cp\u003eA non-technical introduction to the question of modeling with  time-varying parameters, using the \u003cem\u003ebeta\u003c\/em\u003e 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 \u003cem\u003ebetas\u003c\/em\u003e. The book concludes with  further examples of how the Kalman filter may be used in estimation  models used in analyzing other aspects of finance. \u003cbr\u003e  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.\u003c\/p\u003e \u003ch3\u003eDetails\u003c\/h3\u003e \u003cp\u003ePublished by: Springer\u003c\/p\u003e \u003cp\u003ePublication Date: 1995-11-30\u003c\/p\u003e \u003cp\u003eFormat: Hardcover\u003c\/p\u003e \u003cp\u003eISBN-13: 9780792337713\u003c\/p\u003e \u003cp\u003eDOI: 10.1007\/978-94-015-8611-5\u003c\/p\u003e \u003cp\u003eDimensions: 234.0cm x156.0cm\u003c\/p\u003e \u003cp\u003ePages: 172.0\u003c\/p\u003e ","brand":"Springer Netherlands","offers":[{"title":"Default Title","offer_id":45578288300172,"sku":"9780792337713","price":98.99,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0710\/9545\/1788\/files\/9780792337713.jpg?v=1767141455","url":"https:\/\/fh90cf-fv.myshopify.com\/products\/9780792337713","provider":"Late Knight Books and Services, LLC","version":"1.0","type":"link"}