An analysis of stock market prices by using extended Kalman filter: The US and China cases-Reference-Cited by-同舟云学术

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An analysis of stock market prices by using extended Kalman filter: The US and China cases

Published:2023-01-02 Issue:1 Volume:52 Page:67-82
ISSN:1029-3523
Container-title:Investment Analysts Journal
language:en
Short-container-title:Investment Analysts Journal

Author:

Alp Özge Sezgin¹,Özbek Levent²,Canbaloglu Bilge³

Affiliation:

1. Department of Accounting and Financial Management, Başkent University, Ankara, Turkey

2. Department of Statistics, Ankara University, Ankara, Turkey

3. Department of International Trade and Business, Business School, Ankara Yıldırım Beyazıt University, Ankara, Turkey

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance,Accounting

Link

https://www.tandfonline.com/doi/pdf/10.1080/10293523.2023.2179160

Reference47 articles.

1. The effect of quantitative easing on stock prices: a structural time series approach

2. Seasonality in stock returns: evidence from an emerging market

3. The Role of the S&P 500 Index Constituents in Tracking the U.S. Equity Market

4. The stock market reaction to the 2005 split share structure reform in China

5. The real value of China’s stock market

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