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Contents
Front Matter
Introduction
1.
Chapter 1
2.
Simultaneous Equations Model : An Introduction
3.
Generalised Method of Moments-I
4.
Generalised Method of Moments-II
5.
Generalised Method of Moments-III
6.
Specification Error-I
7.
Specification Error-II
8.
Specification Error-III
9.
Specification Error-IV
10.
Panel Data Analysis-I
11.
Panel Data Analysis-II
12.
Panel Data Analysis-III
13.
Panel Data Analysis-IV
14.
Panel Data Analysis-V
15.
The State Space Model
16.
The Kalman Filter
17.
Results on State Space Models
18.
Introduction to Volatility
19.
More on ARCH Models
20.
R case study: The ARCH Model
21.
R case study: The GARCH Model
Back Matter
Appendix
Econometrics and financial time series
16
The Kalman Filter
Samopriya Basu and Sugata Sen Roy
you can view video on The Kalman Filter
