Restricted Kalman filter applied to dynamic style analysis of actuarial funds
Version of Record online: 3 OCT 2011
Copyright © 2011 John Wiley & Sons, Ltd.
Applied Stochastic Models in Business and Industry
Volume 28, Issue 6, pages 558–570, November/December 2012
How to Cite
Marques, R., Pizzinga, A. and Vereda, L. (2012), Restricted Kalman filter applied to dynamic style analysis of actuarial funds. Appl. Stochastic Models Bus. Ind., 28: 558–570. doi: 10.1002/asmb.931
- Issue online: 26 DEC 2012
- Version of Record online: 3 OCT 2011
- Manuscript Revised: 30 AUG 2011
- Manuscript Accepted: 30 AUG 2011
- Manuscript Received: 16 AUG 2010
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