... Kalman Filter, the smoother therefore uses the whole spectrum of price and factor changes to estimate the sensitivity at a point t in time and thereby “smoothes” the sensitivities and increases the explanatory power especially for the sensitivities at the beginning of the time series...

... the predictive regression as a state-space model and estimate the time-varying coefficients via the Kalman filter and prediction-error decomposition. Findings The authors find that the nature of the predictive relationship between crude oil and the US stock market changed in the latter half of 2008. After...

... ) approach. The author also uses a time-varying regression framework in level form based on Kalman filter to examine the dynamic nature of gold–WPI relation. Findings The author finds no evidence of cointegration between gold and WPI. However, The author reports a significant dynamic relation between...