Dynamics Between Malaysian Equity Market And Macroeconomic Variables: An Application Of Kalman Filter Model With Heteroskedastic Error

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dc.contributor.authorCheah Lee Hen
dc.date.accessioned2022-02-16T03:27:01Z
dc.date.available2022-02-16T03:27:01Z
dc.date.issued2006-12
dc.description.abstractEver since the pioneering work of Kalman and Bucy (1960), Kalman filter model has become widely used in the space programme and control engineering. However,its applications in financial time series have been very few and far in between. Kalman filtering is a set of equations which allows an estimator to be updated once a new observation becomes available. A model for the monthly Kuala Lumpur Composite Index from April 1986 to February 2005 is proposed and investigated. The model allows the mean reversion level of Kuala Lumpur Composite Index to be modeled stochastically.en_US
dc.identifier.urihttp://hdl.handle.net/123456789/14677
dc.publisherUniversiti Sains Malaysiaen_US
dc.subjectMacroeconomic Variablesen_US
dc.subjectModel With Heteroskedasticen_US
dc.titleDynamics Between Malaysian Equity Market And Macroeconomic Variables: An Application Of Kalman Filter Model With Heteroskedastic Erroren_US
dc.typeThesisen_US
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