Introduction to Local Level Model and Kalman Filter
Introduction to Local Level Model and Kalman Filter
Introduction to Local Level Model and Kalman Filter
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LogSqr LogReturns Dow Jones : signal extraction<br />
−5<br />
−10<br />
−15<br />
−5<br />
−10<br />
−15<br />
1940 1960 1980 2000<br />
1950 1960 1970 1980 1990 2000 2010<br />
2<br />
1<br />
0<br />
0.1<br />
0.0<br />
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−0.2<br />
1940 1960 1980 2000<br />
1950 1960 1970 1980 1990 2000 2010