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Equity Market — Filtering Applications

In: Stochastic Filtering With Applications In Finance

Author

Listed:
  • Ramaprasad Bhar

    (The University of New South Wales, Australia)

Abstract

The following sections are included:Introduction to Equity Price of RiskA Model for Equity Price of RiskData Used for Empirical StudyDiscussion of Empirical ResultsSummary of ResultsEconomic Convergence in a Filtering FrameworkDefining ConvergenceTesting for ConvergenceTesting Convergence – Dickey-FullerTesting Convergence – Kalman FilterEx-Ante Equity Risk PremiumBackground to Ex Ante Risk PremiumA Model for Ex Ante Risk PremiumFiltering Ex Ante Risk PremiumEx-Ante Risk Premium for UKSummarizing Ex-Ante Risk Premium for UKConcluding Remarks

Suggested Citation

  • Ramaprasad Bhar, 2010. "Equity Market — Filtering Applications," World Scientific Book Chapters, in: Stochastic Filtering With Applications In Finance, chapter 3, pages 48-75, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814304863_0003
    as

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