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dc.contributor.authorDarolles, Serge*
dc.contributor.authorDuvaut, Patrick*
dc.contributor.authorJay, Emmanuelle*
dc.date.accessioned2014-06-17T13:38:42Z
dc.date.available2014-06-17T13:38:42Z
dc.date.issued2013
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13495
dc.language.isoenen
dc.subjectgeometrical interpretationen
dc.subjectKalman filtering (KF)en
dc.subjectleast squares estimation (LSE)en
dc.subjectper return factor modelen
dc.subject.ddc332en
dc.subject.classificationjelC.C1.C13en
dc.subject.classificationjelC.C3.C30en
dc.subject.classificationjelC.C5.C51en
dc.titleLeast Squares Estimation (LSE) and Kalman Filtering (KF) for Factor Modeling: A Geometrical Perspectiveen
dc.typeChapitre d'ouvrage
dc.description.abstractenThis chapter introduces, illustrates and derives both least squares estimation (LSE) and Kalman filter (KF) estimation of the alpha and betas of a return, for a given number of factors that have already been selected. It formalizes the “per return factor model” and the concept of recursive estimate of the alpha and betas. The chapter explains the setup, objective, criterion, interpretation, and derivations of LSE. The setup, main properties, objective, interpretation, practice, and geometrical derivation of KF are also discussed. The chapter also explains the working of LSE and KF. Numerous simulation results are displayed and commented throughout the chapter to illustrate the behaviors, performance and limitations of LSE and KF.en
dc.identifier.citationpages59-116en
dc.relation.ispartoftitleMulti-factor models and signal processing techniques: application to quantitative financeen
dc.relation.ispartofeditorDarolles, Serge
dc.relation.ispartofeditorDuvaut, Patrick
dc.relation.ispartofeditorJay, Emmanuelle
dc.relation.ispartofpublnameISTE ; J. Wileyen
dc.relation.ispartofpublcityLondon ; Hoboken, NJen
dc.relation.ispartofdate2013
dc.relation.ispartofpages184en
dc.relation.ispartofurlhttp://dx.doi.org/10.1002/9781118577387en
dc.subject.ddclabelEconomie financièreen
dc.relation.ispartofisbn978-1-84821-419-4en
dc.relation.forthcomingnonen
dc.identifier.doi10.1002/9781118577387.ch3en
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
hal.person.labIds1032*
hal.person.labIds*
hal.person.labIds*
hal.identifierhal-01632883*


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