Time series analysis of financial asset price fluctuations (Q4249451)
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scientific article; zbMATH DE number 1302957
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| English | Time series analysis of financial asset price fluctuations |
scientific article; zbMATH DE number 1302957 |
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17 December 2000
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time series
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asset price
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stock
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nonstationary
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Kalman filter
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VAR
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0.7474809288978577
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0.7449691891670227
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Time series analysis of financial asset price fluctuations (English)
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The author describes a nonstationary Kitagawe-Gersch model and its properties. Problems of estimation of parameters using Kalman filter are discussed. An application of this model to Toyota Motor's stock price is given. The author also considers the VAR model and applies it to price fluctuations of several stocks. Analysis and prediction of industry indexes are discussed. For the entire collection see [Zbl 0907.00020].
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