Application of K alman Filter to Time Series Properties
Ramaprasad Bhar · Wiley StatsRef: Statistics Reference Online · 2016
Abstract This article elucidates the application of a structural time series approach to test a particular property of financial time series. This relates to the notion of coming together or convergence to two time series over the sample period being analyzed. The methodology allows observing the time evolution of such convergence property. The long‐term steady‐state behavior is empirically important to several research applications such as risk premium in credit and equity market between different countries. This may help support coordinated regulatory policy initiatives between different jurisdictions particularly when a crisis period is experienced.