| ชื่อเรื่อง | : | Dynamics Between Malaysian Equity Market And Macroeconomic Variables: An Application Of Kalman Filter Model With Heteroskedastic Error |
| นักวิจัย | : | Cheah, Lee Hen |
| คำค้น | : | QA1 Mathematics (General) |
| หน่วยงาน | : | Universiti Sains Malaysia, Malaysia |
| ผู้ร่วมงาน | : | - |
| ปีพิมพ์ | : | 2549 |
| อ้างอิง | : | http://eprints.usm.my/51543/1/Pages%20from%20Dynamics%20between%20Malaysian%20equity%20market%20and%20macroeconomic%20variables%20%20an%20application%20of%20Kalman%20filter%20model%20with%20heteroskeda%20%2800001671677%29-24.pdf , Cheah, Lee Hen (2006) Dynamics Between Malaysian Equity Market And Macroeconomic Variables: An Application Of Kalman Filter Model With Heteroskedastic Error. Masters thesis, Universiti Sains Malaysia. |
| ที่มา | : | - |
| ความเชี่ยวชาญ | : | - |
| ความสัมพันธ์ | : | http://eprints.usm.my/51543/ |
| ขอบเขตของเนื้อหา | : | - |
| บทคัดย่อ/คำอธิบาย | : | 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 estimator to be updated once a new observation becomes available. A model for the monthly Kuala Lumpur Composite Index from April 1986 to February 2005 is proposed and investigated. The model allows the mean reversion level of Kuala Lumpur Composite Index to be modeled stochastically. |
| บรรณานุกรม | : |
Cheah, Lee Hen . (2549). Dynamics Between Malaysian Equity Market And Macroeconomic Variables: An Application Of Kalman Filter Model With Heteroskedastic Error.
กรุงเทพมหานคร : Universiti Sains Malaysia, Malaysia. Cheah, Lee Hen . 2549. "Dynamics Between Malaysian Equity Market And Macroeconomic Variables: An Application Of Kalman Filter Model With Heteroskedastic Error".
กรุงเทพมหานคร : Universiti Sains Malaysia, Malaysia. Cheah, Lee Hen . "Dynamics Between Malaysian Equity Market And Macroeconomic Variables: An Application Of Kalman Filter Model With Heteroskedastic Error."
กรุงเทพมหานคร : Universiti Sains Malaysia, Malaysia, 2549. Print. Cheah, Lee Hen . Dynamics Between Malaysian Equity Market And Macroeconomic Variables: An Application Of Kalman Filter Model With Heteroskedastic Error. กรุงเทพมหานคร : Universiti Sains Malaysia, Malaysia; 2549.
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