• Media type: E-Book
  • Title: The Kalman Filter in the Event Study Methodology
  • Contributor: Dubcovsky, Gerardo [Author]; Venegas-Martínez, Francisco [Author]
  • Published: [S.l.]: SSRN, 2005
  • Extent: 1 Online-Ressource (25 p)
  • Language: English
  • Origination:
  • Footnote: In: Revista Mexicana de Economia y Finanzas, Vol.2, No.1, pp. 81-93, 2003
  • Description: We extend the event study methodology into a richer and more dynamic environment by including time-varying parameters. Under the Bayesian framework, useful to update relevant information in a sequential learning mechanism, we use the Kalman filter to consider time dependent parameters, and we choose the initial distribution by using an information theory framework. The proposed extension leads to a more robust set-up in appraising the impact of economic and financial events on the market value of firms
  • Access State: Open Access