Registro de evidencia del método

Kalman Filter (Finance)

The Kalman filter is a recursive algorithm that estimates financial models with time-varying parameters, hidden factors, and noisy observations inside a dynamic state-space framework. The structural time series treatment was set out by Harvey (1989), with state-space and regime-switching extensions developed by Kim and Nelson (1999); it is widely applied to pairs trading, time-varying beta estimation, and yield-curve modelling.

Sources recorded, not reviewed

Registro de origen

Citas copiadas textualmente del registro de origen del método. No se infiere ninguna verificación a nivel de afirmación de ellas.

Kalman Filter — Financial State-Space Model

Registro del método taxonómico · regression-model / finance

Harvey, A. C. (1989). Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press. · ISBN 978-0521405737
Kim, C. J. & Nelson, C. R. (1999). State-Space Models with Regime Switching. MIT Press. · ISBN 978-0262112383

Abrir método completo

Afirmaciones curadas

Afirmaciones persistidas en el libro mayor de evidencia, cada una con su propia evaluación.

Aún no hay afirmaciones curadas

Esta vista no inventa una evaluación de afirmación si el libro mayor no tiene ninguna.

Métodos relacionados

Generado a partir del grafo de métodos y mostrado como relaciones sugeridas por la máquina; no se infiere ninguna afirmación de evidencia.

Same method familyARIMAmachine-suggested · Relational suggestion, not evidence.Same method familyFactor Risk Modelmachine-suggested · Relational suggestion, not evidence.Same method familyLong-Memory Modelsmachine-suggested · Relational suggestion, not evidence.Same method familyPrincipal Component Risk Factorsmachine-suggested · Relational suggestion, not evidence.Same method familyStochastic Volatility Modelmachine-suggested · Relational suggestion, not evidence.