I'm using Kalman Filter to calculate a rolling spread between two asset price series as commonly described by Chan and many others. I would like to extend this regression to the price of three assets, according to:

Asset_0 = c1 * Asset_1 + c2 * Asset_2 ( + intercept)

Question: How can I extend the Kalman regression to calculate c1 and c2? I'm using Python and pykalman, but any example that could explain this would be greatly appreciated.


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.