Dynamics Between Malaysian Equity Market And Macroeconomic Variables: An Application Of Kalman Filter Model With Heteroskedastic Error
Ever since the pioneering work of Kalman and Bucy (1960), Kalman filter model has become widely used in the space programme and control engineering. However,its applications in financial time series have been very few and far in between. Kalman filtering is a set of equations which allows an estimat...
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| Format: | Thesis |
| Language: | English |
| Published: |
2006
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| Online Access: | http://eprints.usm.my/51543/1/Pages%20from%20Dynamics%20between%20Malaysian%20equity%20market%20and%20macroeconomic%20variables%20%20an%20application%20of%20Kalman%20filter%20model%20with%20heteroskeda%20%2800001671677%29-24.pdf |
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