Performance evaluation of modified adaptive Kalman filters, least means square and recursive least square methods for market risk beta and VaR estimation

Performance evaluation of modified adaptive Kalman filters, least means square and recursive least square methods for market risk beta and VaR estimation

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 adaptive noise covariances. The focus is to apply proposed techniques for beta and VaR estimation of assets. The empir...

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Bibliographic Details
Main Author: Atanu Das
Format: Article
Language:English
Published: AIMS Press 2019-03-01
Series:Quantitative Finance and Economics
Subjects:
adaptive estimation| noise covariance adaptation| recursive least square| least mean square| modified AKF| market risk| beta| value-at-Risk
Online Access:https://www.aimspress.com/article/10.3934/QFE.2019.1.124/fulltext.html

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https://www.aimspress.com/article/10.3934/QFE.2019.1.124/fulltext.html

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