Dynamics Between Malaysian Equity Market And Macroeconomic Variables : An Application Of Kalman Filter Model With Heteroskeda

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. Kalman filtering is a set of equations which allows an estima...

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Bibliographic Details
Main Author:	Cheah, Lee Hen
Format:	Thesis
Language:	English
Published:	2006
Subjects:	QA1 Mathematics (General)
Online Access:	http://eprints.usm.my/53192/
Abstract	Abstract here

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