A Kalman filter approach to Chinese mutual funds' market timing abilities
This paper examines the Kalman filter model’s abilities to capture the market timing skills of Chinese mutual fund managers. The Kalman filter approach provides a useful measure of timing skills since it allows for estimation of time series of portfolio beta. Using this measure, I compare the per...
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| Format: | Thesis-Master by Research |
| Language: | English |
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Nanyang Technological University
2020
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| Online Access: | https://hdl.handle.net/10356/144739 |