Beta estimation using Kalman Filter [Octave Matlab]

Category: Matlab	View Full Details
Beta estimation using Kalman Filter
Submitter: vanna	Date: 2007/2/24

Description: Implements Maximum likelihood estimation of beta and other parameters for model of stock portfolio vs. index as described in page 5 of paperEstimating Value at Risk with the Kalman Filter Stock returns process is simulated within the function SimulateData. MLE estimation is performed on the model, and parameter values of the process are compared. Got a question or problem with this link? Just enter your message and click on submit. No registration is required. Note: A copy of this message will also be emailed to the submitter of this link
2358 0 bytes Octave Matlab http://www.quantcode.com/
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Anonymous	Posted: 2011/5/24 14:57 Updated: 2011/5/24 14:57
	Beta estimation using Kalman Filter How would the code change in case the estimation is done on 2 or more dependent variables

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