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berkalp


Total Posts: 7
Joined: Jan 2019
 
Posted: 2019-05-06 15:39
Hello!

I am a fin eng. master student and trying to use state space models in my thesis.

I am trying to use state space models to analyze connections between equity and commodity prices.

What is the best platform for State space models? Python? which library? matlab? R?

All comments are welcome!

rickyvic


Total Posts: 187
Joined: Jul 2013
 
Posted: 2019-05-14 15:00
You need a time varying parameter model.
Durbin and Koopman's book is very good to learn the basics, which is what you would use.

"amicus Plato sed magis amica Veritas"

berkalp


Total Posts: 7
Joined: Jan 2019
 
Posted: 2019-06-03 10:54
Amazing book! Thank you!

Do you know any books with exaples w pseduecode?

Best regards,
Alp

rickyvic


Total Posts: 187
Joined: Jul 2013
 
Posted: 2019-06-11 13:38
On that book if you follow the steps it is really straightforward to code it up with standard matrix oriented languages or libraries.
I am not aware of other books that do pseudocode

"amicus Plato sed magis amica Veritas"
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