Models for the rate of inflation, equity dividend yields and dividend growth using the Kalman filter technique

A non-linear multivariate model of the UK real exchange rate

Milas, C.
Brunel Univ., Uxbridge (United Kingdom). Centre for Empirical Research in Finance

January 2001

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.0904(01/07) / BLDSC - British Li...

Price Dividend Models Revisited, and their Role as Indicators for Monetary Policy

N. Valckx

This paper investigates the role of inflation risk in a model of the price dividend ratio, combining...

The integration of the Central and East European equity markets into the international capital markets A Kalman approach

Linne, T.
Leicester Univ. (United Kingdom). Dept. of Economics

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:7742.64435(99/2) / BLDSC - British Li...

Modelling structural change using the Kalman filter

Hall, S
London Business School (United Kingdom). Centre for Economic Forecasting

January 1992

SIGLEAvailable from British Library Document Supply Centre- DSC:3597.3859(LBS-CEF-DP--09-92) / BLDSC...

Inflation expectation calibration in an arbitrage-free model

Chen, Shi

September 2014

Die Master-Thesis analysiert den Britische Gilts Markt mit AFDNS Modell. Vier unbekannte Faktoren si...

An application of the Kalman filtering technique to stock market prices

Patel, K
Essex Univ., Colchester (United Kingdom). Dept. of Economics

January 1984

Available from British Library Lending Division - LD:3597.973(255) / BLDSC - British Library Documen...

Kalman filtering and the estimation of systems of consumer demand equations with time-varying coefficients

Leybourne, S.J

January 1988

SIGLEAvailable from British Library Document Supply Centre- DSC:D86981 / BLDSC - British Library Doc...

Inflation dynamics in a new Keynesian model

Wren-Lewis, S.
Ireland, J.
Strathclyde Univ., Glasgow (United Kingdom). International Centre for Macroeconomic Modelling

January 1994

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.36425(no 24) / BLDSC - British L...

A nonlinear model of inflation and hyperinflation

Roberts, M.A
Essex Univ., Colchester (United Kingdom). Dept. of Economics

January 1990

SIGLEAvailable from British Library Document Supply Centre- DSC:3597.973(EU-DE-DPS--374) / BLDSC - B...

The Kalman filter in finance: An application to term structure models of commodity prices and a comparison between the simple and the extended filters

Lautier, Delphine

January 2002

A Kalman filter can be used for the estimation of a model’s parameters, when the model relies on n...

Modelling the dividend behaviour of the aggregate US stock market

Garrett, I.
Priestly, R.
Brunel Univ., Uxbridge (United Kingdom). Centre for Empirical Research in Finance

January 1995

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.09052(95-10) / BLDSC - British L...

A Kalman filter approach to estimating the UK NAIRU

Greenslade, Jennifer V.
Pierse, Richard G.
Saleheen, Jumana
Bank of England (United Kingdom)

January 2003

Includes bibliographical references. Title from cover. Also available via the InternetAvailable from...

AN APPLICATION TO TERM STRUCTURE MODELS OF COMMODITY PRICES AND A COMPARISON BETWEEN THE SIMPLE AND THE EXTENDED FILTERS

Delphine Lautier

January 2015

ABSTRACT: A Kalman filter can be used for the estimation of a model’s parameters, when the model rel...

A synopsis of the smoothing formulae associated with the Kalman filter

Merkus, H.
Pollock, D.
De Vos, A
Queen Mary and Westfield Coll., London (United Kingdom). Dept. Economics

January 1991

SIGLEAvailable from British Library Document Supply Centre- DSC:6392.9259(QMWC-DE-P--246) / BLDSC - ...

A Simplified Approach to Understanding the Kalman Filter Technique, The Engineering Economist, Vol.53: 140–155

Tom Arnold
Mark J. Bertus
Jonathan Godbey
Tom Arnold
Mark Bertus
Jonathan Godbey

January 2008

Part of the Corporate Finance Commons, and the Finance and Financial Management Commons This Article...

A non-linear multivariate model of the UK real exchange rate

Milas, C.
Brunel Univ., Uxbridge (United Kingdom). Centre for Empirical Research in Finance

January 2001

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.0904(01/07) / BLDSC - British Li...

Price Dividend Models Revisited, and their Role as Indicators for Monetary Policy

N. Valckx

This paper investigates the role of inflation risk in a model of the price dividend ratio, combining...

The integration of the Central and East European equity markets into the international capital markets A Kalman approach

Linne, T.
Leicester Univ. (United Kingdom). Dept. of Economics

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:7742.64435(99/2) / BLDSC - British Li...

Modelling structural change using the Kalman filter

Hall, S
London Business School (United Kingdom). Centre for Economic Forecasting

January 1992

SIGLEAvailable from British Library Document Supply Centre- DSC:3597.3859(LBS-CEF-DP--09-92) / BLDSC...

Inflation expectation calibration in an arbitrage-free model

Chen, Shi

September 2014

Die Master-Thesis analysiert den Britische Gilts Markt mit AFDNS Modell. Vier unbekannte Faktoren si...

An application of the Kalman filtering technique to stock market prices

Patel, K
Essex Univ., Colchester (United Kingdom). Dept. of Economics

January 1984

Available from British Library Lending Division - LD:3597.973(255) / BLDSC - British Library Documen...

Kalman filtering and the estimation of systems of consumer demand equations with time-varying coefficients

Leybourne, S.J

January 1988

SIGLEAvailable from British Library Document Supply Centre- DSC:D86981 / BLDSC - British Library Doc...

Inflation dynamics in a new Keynesian model

Wren-Lewis, S.
Ireland, J.
Strathclyde Univ., Glasgow (United Kingdom). International Centre for Macroeconomic Modelling

January 1994

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.36425(no 24) / BLDSC - British L...

A nonlinear model of inflation and hyperinflation

Roberts, M.A
Essex Univ., Colchester (United Kingdom). Dept. of Economics

January 1990

SIGLEAvailable from British Library Document Supply Centre- DSC:3597.973(EU-DE-DPS--374) / BLDSC - B...

The Kalman filter in finance: An application to term structure models of commodity prices and a comparison between the simple and the extended filters

Lautier, Delphine

January 2002

A Kalman filter can be used for the estimation of a model’s parameters, when the model relies on n...

Modelling the dividend behaviour of the aggregate US stock market

Garrett, I.
Priestly, R.
Brunel Univ., Uxbridge (United Kingdom). Centre for Empirical Research in Finance

January 1995

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.09052(95-10) / BLDSC - British L...

A Kalman filter approach to estimating the UK NAIRU

Greenslade, Jennifer V.
Pierse, Richard G.
Saleheen, Jumana
Bank of England (United Kingdom)

January 2003

Includes bibliographical references. Title from cover. Also available via the InternetAvailable from...

AN APPLICATION TO TERM STRUCTURE MODELS OF COMMODITY PRICES AND A COMPARISON BETWEEN THE SIMPLE AND THE EXTENDED FILTERS

Delphine Lautier

January 2015

ABSTRACT: A Kalman filter can be used for the estimation of a model’s parameters, when the model rel...

A synopsis of the smoothing formulae associated with the Kalman filter

Merkus, H.
Pollock, D.
De Vos, A
Queen Mary and Westfield Coll., London (United Kingdom). Dept. Economics

January 1991

SIGLEAvailable from British Library Document Supply Centre- DSC:6392.9259(QMWC-DE-P--246) / BLDSC - ...

A Simplified Approach to Understanding the Kalman Filter Technique, The Engineering Economist, Vol.53: 140–155

Tom Arnold
Mark J. Bertus
Jonathan Godbey
Tom Arnold
Mark Bertus
Jonathan Godbey

January 2008

Part of the Corporate Finance Commons, and the Finance and Financial Management Commons This Article...

A non-linear multivariate model of the UK real exchange rate

Milas, C.
Brunel Univ., Uxbridge (United Kingdom). Centre for Empirical Research in Finance

January 2001

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.0904(01/07) / BLDSC - British Li...

Price Dividend Models Revisited, and their Role as Indicators for Monetary Policy

N. Valckx

This paper investigates the role of inflation risk in a model of the price dividend ratio, combining...

The integration of the Central and East European equity markets into the international capital markets A Kalman approach

Linne, T.
Leicester Univ. (United Kingdom). Dept. of Economics

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:7742.64435(99/2) / BLDSC - British Li...

Models for the rate of inflation, equity dividend yields and dividend growth using the Kalman filter technique

Abstract

Extracted data

Models for the rate of inflation, equity dividend yields and dividend growth using the Kalman filter technique

Abstract

Extracted data

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