Estimation of time-varying parameter multifactor asset pricing models using Kalman filtering techniques
By: by Thomas Mendoza-Hauptmann.
Published: 1994
Language: eng
Number of pages: 284
Subjects: Pricing -- Econometric models.; Risk -- Econometric models.; Arbitrage.
Other titles: Estimation of time varying parameter multifactor asset pricing models using Kalman filtering techniques.
Notes: Computer-produced typeface.

Thesis (Ph. D.)--Washington State University, 1994.

Includes bibliographical references (leaves 256-261).

Another copy on microfilm.

"College of Business and Economics."