List of Articles kalman filtering

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  1 - comparative study of dynamic performance of investment according to method (garch)and kalman filter
  Javad Yousefi Brahman JAVAD ramezani Mehdi Khalilpour
  The importance of investing for economic growth and development is enough to make it a strong incentive to reach development; one that investors care about is the information that comes from the coming part of the company.In spite of an efficient construction of the mar More

  The importance of investing for economic growth and development is enough to make it a strong incentive to reach development; one that investors care about is the information that comes from the coming part of the company.In spite of an efficient construction of the market, it is possible to identify companies and projects. one of the main parts of the capital market is the stock exchange. and efficiency is the main and most important feature of the stock exchange. according to the significant effect of efficiency on the trade and investment level, the main purpose of this study is to compare the dynamic performance of investment according to the garch and kalman filter method.in this research , by using kalman filter , the beta - kalman filter is applied to the firms listed in tehran stock exchange ( tse ) . then beta values for these shares are estimated using garch method and the efficiency of these two methods is compared .tthe results are obtained and based on the mean square error of each method , it can be stated that kalman filter method outperforms the garch method and therefore outperforms the garch model . Manuscript profile