Dynamics Between Malaysian Equity Market And Macroeconomic Variables : An Application Of Kalman Filter Model With Heteroskedastic Error [QA402.3. C514 2007 f rb].

Cheah, Lee Han (2006) Dynamics Between Malaysian Equity Market And Macroeconomic Variables : An Application Of Kalman Filter Model With Heteroskedastic Error [QA402.3. C514 2007 f rb]. Masters thesis, Universiti Sains Malaysia.

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Abstract

Sejak diperkenalkan oleh Kalman dan Bucy (1960), model penapis Kalman telah mendapat penggunaan yang luas dalam dalam program ruang angkasa dan bidang kejuteraan kawalan. Namun begitu, pengaplikasiannya dalam bidang siri masa kewangan masih jarang digunakan dan jauh ketinggalan. 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.

Item Type:	Thesis (Masters)
Subjects:	Q Science > QA Mathematics > QA299.6-433 Analysis
Divisions:	Pusat Pengajian Sains Matematik (School of Mathematical Sciences)
Depositing User:	ARKM Al Rashid Automasi
Date Deposited:	17 Feb 2009 14:29
Last Modified:	13 Jul 2013 03:47
URI:	http://eprints.usm.my/id/eprint/7953

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