The Kalman filter requires knowledge of the noise statistics; however, the noise covariances
are generally unknown. Although this problem has a long history, reliable algorithms for their …

This paper examines the long‑term dependence between the Polish and German stock
markets in terms of industry beta risk estimates according to the Capital Asset Pricing Model …

La creación de fondos de inversión inmobiliaria en Colombia ha abierto posibilidades de
diversificación de portafolio a agentes que deseen invertir en el sector inmobiliario sin tener …

The impact of authorities' information disclosure on social welfare and market stability has
become a widely debated topic since the contribution of Morris and Shin (2002). Despite …

The main goal of this article is to investigate empirically the Kalman approach to estimate the
time-varying beta parameter as a systematic investment risk market in Poland, Czech …

The question of interest in this paper is the estimation of the trend of a financial asset, and
the impact of its misspecification on investment strategies. The setting we consider is that of …

Index funds are substantially preferred by investors nowadays, and market sensitivities are
instrumental in managing index funds. An index fund is a mutual fund aiming to track the …

First order Adaptive Kalman Filter (AKF) were successful for market risk beta estimation to
accommodate the adaptive parameters better in a time varying CAPM. This paper presents a …

Adaptive Kalman Filters (AKFs) are well known for their navigational applications. This work
bridges the gap in the evolution of AKFs to handle parameter inconsistency problems with …

Um dos principais desafios da moderna teoria de finanças é encontrar o comportamento
dos ativos, dados os diferentes cenários macroeconômicos existentes, aperfeiçoando a …