Style Analysis Based on a General State Space Model and Monte Carlo Filter (Revised in May 2007)

This paper proposes a new approach to style analysis by utilizing a general state space model and Monte Carlo filter. In particular,We regard coefficients of style indices as state variables in the state space model and apply Monte Carlo filter as estimation method. Moreover, an empirical analysis using actual funds' data confirms the validity of our approach.

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Year of publication:	2005-04
Authors:	Kobayashi, Takao ; Sato, Seisho ; Takahashi, Akihiko
Institutions:	Center for Advanced Research in Finance, Faculty of Economics

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Extent:	application/pdf
Series:	CARF F-Series.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number CARF-F-032 25 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008519722