Racicot, Francois-Éric; Théoret, Raymond - Départment des sciences administratives, Université … - 2005
The popularity of Kalman filter is increasing in financial studies, notably to estimate diffusion processes. In this article, we show how we can use it to forecast the volatility of returns and the price-earnings ratio of the S&P500. The Kalman filter is consequently very versatile when...