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...

Full description

Saved in:

Bibliographic Details
Main Author:	Cheah, Lee Hen
Format:	Thesis
Language:	English
Published:	2006
Subjects:	QA1 Mathematics (General)
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
Tags:	Add Tag No Tags, Be the first to tag this record!

id	my-usm-ep.51543
record_format	uketd_dc
spelling	my-usm-ep.515432022-02-16T03:28:36Z Dynamics Between Malaysian Equity Market And Macroeconomic Variables: An Application Of Kalman Filter Model With Heteroskedastic Error 2006-12 Cheah, Lee Hen QA1 Mathematics (General) 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 estimator to be updated once a new observation becomes available. A model for the monthly Kuala Lumpur Composite Index from April 1986 to February 2005 is proposed and investigated. The model allows the mean reversion level of Kuala Lumpur Composite Index to be modeled stochastically. 2006-12 Thesis http://eprints.usm.my/51543/ 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 application/pdf en public masters Universiti Sains Malaysia Pusat Pengajian Sains Matematik
institution	Universiti Sains Malaysia
collection	USM Institutional Repository
language	English
topic	QA1 Mathematics (General)
spellingShingle	QA1 Mathematics (General) Cheah, Lee Hen Dynamics Between Malaysian Equity Market And Macroeconomic Variables: An Application Of Kalman Filter Model With Heteroskedastic Error
description	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 estimator to be updated once a new observation becomes available. A model for the monthly Kuala Lumpur Composite Index from April 1986 to February 2005 is proposed and investigated. The model allows the mean reversion level of Kuala Lumpur Composite Index to be modeled stochastically.
format	Thesis
qualification_level	Master's degree
author	Cheah, Lee Hen
author_facet	Cheah, Lee Hen
author_sort	Cheah, Lee Hen
title	Dynamics Between Malaysian Equity Market And Macroeconomic Variables: An Application Of Kalman Filter Model With Heteroskedastic Error
title_short	Dynamics Between Malaysian Equity Market And Macroeconomic Variables: An Application Of Kalman Filter Model With Heteroskedastic Error
title_full	Dynamics Between Malaysian Equity Market And Macroeconomic Variables: An Application Of Kalman Filter Model With Heteroskedastic Error
title_fullStr	Dynamics Between Malaysian Equity Market And Macroeconomic Variables: An Application Of Kalman Filter Model With Heteroskedastic Error
title_full_unstemmed	Dynamics Between Malaysian Equity Market And Macroeconomic Variables: An Application Of Kalman Filter Model With Heteroskedastic Error
title_sort	dynamics between malaysian equity market and macroeconomic variables: an application of kalman filter model with heteroskedastic error
granting_institution	Universiti Sains Malaysia
granting_department	Pusat Pengajian Sains Matematik
publishDate	2006
url	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
_version_	1747822077033840640

Dynamics Between Malaysian Equity Market And Macroeconomic Variables: An Application Of Kalman Filter Model With Heteroskedastic Error

Similar Items