Skip to main content
Quantitative Finance

Return to Answer

added 6 characters in body
Source Link
SRKX
SRKX
  • 11.2k
  • 4
  • 42
  • 84

I would say

  1. Take log of first eqequation to get rid of dependence on $x_t$
  2. Apply Kalman filter equations to estimate parameters

I believe Conrad and Kaul (1988) J of Business do exactly what you describe.

I would say

  1. Take log of first eq to get rid of dependence on $x_t$
  2. Apply Kalman filter equations to estimate parameters

I believe Conrad and Kaul (1988) J of Business do exactly what you describe.

I would say

  1. Take log of first equation to get rid of dependence on $x_t$
  2. Apply Kalman filter equations to estimate parameters

I believe Conrad and Kaul (1988) J of Business do exactly what you describe.

Source Link
Kiwiakos
Kiwiakos
  • 4.4k
  • 1
  • 16
  • 21

I would say

  1. Take log of first eq to get rid of dependence on $x_t$
  2. Apply Kalman filter equations to estimate parameters

I believe Conrad and Kaul (1988) J of Business do exactly what you describe.