Background
Wells, Curt was born on February 25, 1942 in Baltimore. Arrived in Sweden, 1967. Son of Albert Curtis Junior and Marguarite (Bohn) Wells.
- Photos
- Works
- Photos
- Works
book
The Kalman Filter in Finance (Advanced Studies in Theoretical and Applied Econometrics)
(A non-technical introduction to the question of modeling ...)
A non-technical introduction to the question of modeling with time-varying parameters, using the beta coefficient from Financial Economics as the main example. After a brief introduction to this coefficient for those not versed in finance, the book presents a number of rather well known tests for constant coefficients and then performs these tests on data from the Stockholm Exchange. The Kalman filter is then introduced and a simple example is used to demonstrate the power of the filter. The filter is then used to estimate the market model with time-varying betas. The book concludes with further examples of how the Kalman filter may be used in estimation models used in analyzing other aspects of finance. Since both the programs and the data used in the book are available for downloading, the book is especially valuable for students and other researchers interested in learning the art of modeling with time varying coefficients.
http://www.amazon.com/gp/product/9048146305/?tag=2022091-20
Optimal fiscal and monetary policy: Experiments with an econometric model of Sweden (Lund economic studies)
http://www.amazon.com/gp/product/9140046575/?tag=2022091-20
(The Kalman Filter in Finance ) Author: Curt Wells Jun-1996
http://www.amazon.com/gp/product/B010BAX2SU/?tag=2022091-20
The Kalman Filter in Finance (Advanced Studies in Theoretical and Applied Econometrics)
(A non-technical introduction to the question of modeling ...)
A non-technical introduction to the question of modeling with time-varying parameters, using the beta coefficient from Financial Economics as the main example. After a brief introduction to this coefficient for those not versed in finance, the book presents a number of rather well known tests for constant coefficients and then performs these tests on data from the Stockholm Exchange. The Kalman filter is then introduced and a simple example is used to demonstrate the power of the filter. The filter is then used to estimate the market model with time-varying betas. The book concludes with further examples of how the Kalman filter may be used in estimation models used in analyzing other aspects of finance. Since both the programs and the data used in the book are available for downloading, the book is especially valuable for students and other researchers interested in learning the art of modeling with time varying coefficients.
http://www.amazon.com/gp/product/0792337719/?tag=2022091-20
Curt Wells
Edit ProfileEducation
Bachelor, University California, Santa Barbara, 1965. Filosofie kandidat, Lund (Sweden) University, 1971. Filosofie doktor, Lund (Sweden) University, 1978.
Career
Associate professor Lund (Sweden) University, 1978-1979, 83—. Research fellow National Defense Research Institute, Stockholm, 1979-1983.
Achievements
Works
book
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The Kalman Filter in Finance (Advanced Studies in Theoretical and Applied Econometrics)
(A non-technical introduction to the question of modeling ...)
-
The Kalman Filter in Finance (Advanced Studies in Theoretical and Applied Econometrics)
(A non-technical introduction to the question of modeling ...)
- Optimal fiscal and monetary policy: Experiments with an econometric model of Sweden (Lund economic studies)
- The Kalman Filter in Finance (Advanced Studies in Theoretical and Applied Econometrics) by Curt Wells (2010-12-06)
- (The Kalman Filter in Finance ) Author: Curt Wells Jun-1996
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The Kalman Filter in Finance (Advanced Studies in Theoretical and Applied Econometrics)
Membership
1st lieutenant Swedish Home Army, 1995. Member American Economic Association, Royal Economic Association, Econometric Society.
Interests
Connections
Married Berit Ivarsson (divorced 1986). Married Lisabeth Andersson, January 30, 1987. Children: Ann-Charlotte, Ann-Catrin.
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Born
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Nationality
American -
Political Party
Conservative Party
Education
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1965
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1971
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1978