This C++ project is the use of Kalman filter in estimating stock betas. Compared with the method of rolling time series regression, this Kalman filter can adjust beta close to the true beta with faster convergence rate.
This project is the use of Kalman filter in estimating stock betas
This C++ project is the use of Kalman filter in estimating stock betas. Compared with the method of rolling time series regression, this Kalman filter can adjust beta close to the true beta with faster convergence rate.
This project is the use of Kalman filter in estimating stock betas
MIT License