Equity Market — Filtering Applications

Ramaprasad Bhar
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Ramaprasad Bhar: The University of New South Wales, Australia

Chapter 3 in Stochastic Filtering with Applications in Finance, 2010, pp 48-75 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Introduction to Equity Price of RiskA Model for Equity Price of RiskData Used for Empirical StudyDiscussion of Empirical ResultsSummary of ResultsEconomic Convergence in a Filtering FrameworkDefining ConvergenceTesting for ConvergenceTesting Convergence – Dickey-FullerTesting Convergence – Kalman FilterEx-Ante Equity Risk PremiumBackground to Ex Ante Risk PremiumA Model for Ex Ante Risk PremiumFiltering Ex Ante Risk PremiumEx-Ante Risk Premium for UKSummarizing Ex-Ante Risk Premium for UKConcluding Remarks

Keywords: Kalman Filter; Stochastic Volatility; Unscented Kalman Filter; Extended Kalman Filter; Interest Rate Process; Stochastic Volatility; Inflation Uncertainty; Forward Exchange Rate; Equity Price of Risk; Credit Default Swaps (search for similar items in EconPapers)
Date: 2010
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