This volume presents a collection of readings which give the reader an idea of the nature and scope of unobserved components (UC) models and the methods used to deal with them. The book is intended to give a self-contained presentation of the methods and applicative issues. Harvey has made major...

The modern field of financial economics asks for sound pricing models grounded on the theory of financial decision making as well as for accurate estimation techniques when it comes to empirical inferences of the specified model. The volume Financial Pricing Models in Continuous Time and Kalman...