{"product_id":"the-kalman-filter-in-finance-c-wells-9789048146307","title":"The Kalman Filter in Finance","description":"A 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.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eAuthor:\u003c\/b\u003e C. Wells\u003cbr\u003e\u003cb\u003eISBN-10:\u003c\/b\u003e 9048146305\u003cbr\u003e\u003cb\u003eISBN-13:\u003c\/b\u003e 9789048146307\u003cbr\u003e\u003cb\u003ePublisher:\u003c\/b\u003e Springer\u003cbr\u003e\u003cb\u003eLanguage:\u003c\/b\u003e English\u003cbr\u003e\u003cb\u003ePublished:\u003c\/b\u003e 12\/05\/2010\u003cbr\u003e\u003cb\u003ePages:\u003c\/b\u003e 172\u003cbr\u003e\u003cb\u003eFormat:\u003c\/b\u003e Paperback\u003cbr\u003e\u003cb\u003eWeight:\u003c\/b\u003e 0.61lbs\u003cbr\u003e\u003cb\u003eSize:\u003c\/b\u003e 9.21h x 6.14w x 0.41d","brand":"C. Wells","offers":[{"title":"Paperback","offer_id":46431410815231,"sku":"9789048146307","price":109.99,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0662\/2982\/9887\/files\/img_63cd6a5d-46e8-42bc-a56c-44072c51dee6.jpg?v=1735141240","url":"https:\/\/www.whiterainbookhouse.com\/products\/the-kalman-filter-in-finance-c-wells-9789048146307","provider":"WR Book House","version":"1.0","type":"link"}