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The Kalman Filter In The Event-Study Methodology

Author

Listed:
  • Gerardo Dubcovsky

    (Tecnológico de Monterrey, Campus Ciudad de México)

  • Francisco Venegas-Martínez

    (Tecnológico de Monterrey, Campus Ciudad de México)

Abstract

El propósito de este trabajo de investigación consiste en extender la metodología de estudios de eventos, en un ambiente dinámico más rico, a fin de que se incluyan parámetros dependientes del tiempo. Se utiliza el filtro de Kalman para modelar parámetros como función del tiempo,en una representación espacio-estado del modelo estadístico de mercado de estudios de eventos. Asimismo, se aplica inferencia Bayesiana para actualizar la información relevante y se utiliza la teoría de información para elegir la distribución inicial de los parámetros. La extensión propuesta conduce a un planteamiento más robusto de la evaluación del impacto que un evento económico o financiero tiene sobre el valor de mercado de las empresas.

Suggested Citation

  • Gerardo Dubcovsky & Francisco Venegas-Martínez, 2003. "The Kalman Filter In The Event-Study Methodology," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 2(1), pages 81-93, Marzo 200.
    • Handle: RePEc:imx:journl:v:2:y:2003:i:1:p:81-93
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    File URL: http://www.remef.org.mx/index.php/primera/article/view/146
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    References listed on IDEAS

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    More about this item

    Keywords

    Event studies; Kalman filtering; Information theory;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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