Style Analysis Based on a General State Space Model and Monte Carlo Filter (Revised in May 2007)

Takao Kobayashi, Seisho Sato and Akihiko Takahashi
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Takao Kobayashi: Faculty of Economics, University of Tokyo
Seisho Sato: Department of Prediction and Control, Institute of Statistical Mathematics
Akihiko Takahashi: Faculty of Economics, University of Tokyo

No CARF-F-032, CARF F-Series from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo

Abstract: This paper proposes a new approach to style analysis by utilizing a general state space model and Monte Carlo filter. In particular,We regard coefficients of style indices as state variables in the state space model and apply Monte Carlo filter as estimation method. Moreover, an empirical analysis using actual funds' data confirms the validity of our approach.

Pages: 25 pages
Date: 2005-04
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:cfi:fseres:cf032

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