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The Kalman Filter in Finance - Advanced Studies in Theoretical and Applied Econometrics C. Wells 1996 edition
The Kalman Filter in Finance - Advanced Studies in Theoretical and Applied Econometrics
C. Wells
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.
172 pages, biography
| Medios de comunicación | Libros Hardcover Book (Libro con lomo y cubierta duros) |
| Publicado | 30 de noviembre de 1995 |
| ISBN13 | 9780792337713 |
| Editores | Springer |
| Páginas | 172 |
| Dimensiones | 159 × 240 × 17 mm · 467 g |
| Lengua | Inglés |