Hedge Fund Returns, Kalman Filter, and Errors-in-Variables
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Bibliographic InfoArticle provided by International Atlantic Economic Society in its journal Atlantic Economic Journal.
Volume (Year): 38 (2010)
Issue (Month): 3 (September)
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- Théoret, Raymond & Racicot, François-Éric, 2010.
"Forecasting stochastic Volatility using the Kalman filter: an application to Canadian Interest Rates and Price-Earnings Ratio,"
35911, University Library of Munich, Germany.
- Francois-Éric Racicot & Raymond Théoret, 2011. "Forecasting stochastic Volatility using the Kalman filter: An Application to Canadian Interest Rates and Price-Earnings Ratio," RePAd Working Paper Series UQO-DSA-wp032011, Département des sciences administratives, UQO.
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