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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| Format: | Article |
| Language: | English |
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AIMS Press
2019-03-01
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| Series: | Quantitative Finance and Economics |
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| Online Access: | https://www.aimspress.com/article/10.3934/QFE.2019.1.124/fulltext.html |