I am looking out for some material where I can study about Kalman Filter applied to Equity using Excel or R?
A great example of kalman filtering is in the Kyle Model. I have attached a presentation on the application of R to the kalman filter in the Kyle Model.
Basically in the Kyle Model, a market maker finds the likelihood an asset is ending up at a certain price given that a person is an informed trader. Given this, you update what the final price will be by each successive trade through a kalman filter
A simple google search should get your started:
I like this one the best because it compares different packages:
and here couple more:
But I highly recommend you to also read up on unscented kalman filters and particle filters because they are much more applicable to financial time series (handle non-normality):
The following paper gives you a step-by-step presentation of how to use the Kalman filter in an application in a pricing model framework for a spot and futures market. Everything is explained using Excel: