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Exact Maximum Likelihood Estimation of the Kalman Filter Model
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The article was published on 1982-01-01 and is currently open access. It has received 5 citations till now. The article focuses on the topics: Extended Kalman filter & Maximum likelihood sequence estimation.read more
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An Empirical Investigation of the Possibility of Stochastic Systematic Risk in the Market Model
T. Bos,P. Newbold +1 more
TL;DR: In this paper, the authors considered the possibility that the risk of an asset is stochastic and showed that the stock market model can be modeled as a first-order autoregressive process.
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Infrequent Large Nominal Devaluations and Their Impact on the Futures Prices for Foreign Exchange in Brazil
TL;DR: The authors discusses the behavior of futures prices for foreign exchange in Brazil during a period of high inflation and successive stabilization attempts and argues that the finding of excess returns may be viewed as a rational response to the frequent and unpredictable changes in the exchange rate policy during that period.
Journal Article
Infrequent large nominal devaluations and their impact on the futures prices for foreign exchange in Brazil
TL;DR: The authors discusses the behavior of futures prices for foreign exchange in Brazil during a period of high inflation and successive stabilization attempts (1989-92) and argues that finding of excess returns may be viewed as a rational response to the frequent and unpredictable changes in the exchange rate policy during that period.