{"id":"https://openalex.org/W2000466262","doi":"https://doi.org/10.1080/0232929031000150373","title":"The Kalman Filter Approach for Time-varying \u00df Estimation","display_name":"The Kalman Filter Approach for Time-varying \u00df Estimation","publication_year":2003,"publication_date":"2003-08-01","ids":{"openalex":"https://openalex.org/W2000466262","doi":"https://doi.org/10.1080/0232929031000150373","mag":"2000466262"},"language":"en","primary_location":{"id":"doi:10.1080/0232929031000150373","doi":"https://doi.org/10.1080/0232929031000150373","is_oa":false,"landing_page_url":"https://doi.org/10.1080/0232929031000150373","pdf_url":null,"source":{"id":"https://openalex.org/S100621616","display_name":"Systems Analysis Modelling Simulation","issn_l":"0232-9298","issn":["0232-9298","1026-7824","1029-4902"],"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Systems Analysis Modelling Simulation","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5028795863","display_name":"Massimo Gastaldi","orcid":"https://orcid.org/0000-0002-0867-3352","observed_orcids":["https://orcid.org/0000-0002-0867-3352"]},"institutions":[{"id":"https://openalex.org/I26415053","display_name":"University of L'Aquila","ror":"https://ror.org/01j9p1r26","country_code":"IT","type":"education","lineage":["https://openalex.org/I26415053"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Massimo Gastaldi","raw_affiliation_strings":["Department of Electrical Engineering, University of L'Aquila, Monteluco di Roio, L'Aquila, 67100, Italy","Department of Electrical Engineering, University of L'Aquila, Monteluco di Roio, 67100 L'Aquila, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Electrical Engineering, University of L'Aquila, Monteluco di Roio, L'Aquila, 67100, Italy","institution_ids":["https://openalex.org/I26415053"]},{"raw_affiliation_string":"Department of Electrical Engineering, University of L'Aquila, Monteluco di Roio, 67100 L'Aquila, Italy","institution_ids":["https://openalex.org/I26415053"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5059565159","display_name":"Annamaria Nardecchia","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I26415053","display_name":"University of L'Aquila","ror":"https://ror.org/01j9p1r26","country_code":"IT","type":"education","lineage":["https://openalex.org/I26415053"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Annamaria Nardecchia","raw_affiliation_strings":["Department of Electrical Engineering, University of L'Aquila, Monteluco di Roio, L'Aquila, 67100, Italy","Department of Electrical Engineering, University of L'Aquila, Monteluco di Roio, 67100 L'Aquila, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Electrical Engineering, University of L'Aquila, Monteluco di Roio, L'Aquila, 67100, Italy","institution_ids":["https://openalex.org/I26415053"]},{"raw_affiliation_string":"Department of Electrical Engineering, University of L'Aquila, Monteluco di Roio, 67100 L'Aquila, Italy","institution_ids":["https://openalex.org/I26415053"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I26415053"],"apc_list":null,"apc_paid":null,"fwci":1.0699,"has_fulltext":false,"cited_by_count":14,"citation_normalized_percentile":{"value":0.85615477,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":96},"biblio":{"volume":"43","issue":"8","first_page":"1033","last_page":"1042"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.7964000105857849,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.7964000105857849,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.16590000689029694,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.006000000052154064,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/time-varying-beta","display_name":"time-varying beta","score":0.9700000286102295},{"id":"https://openalex.org/keywords/kalman-filter","display_name":"Kalman filter","score":0.9169999957084656},{"id":"https://openalex.org/keywords/systematic-risk","display_name":"systematic risk","score":0.9559999704360962},{"id":"https://openalex.org/keywords/market-model","display_name":"market model","score":0.8330000042915344},{"id":"https://openalex.org/keywords/italian-stock-market","display_name":"Italian stock market","score":0.7360000014305115},{"id":"https://openalex.org/keywords/stock-returns","display_name":"stock returns","score":0.5210000276565552}],"concepts":[{"id":"https://openalex.org/C157286648","wikidata":"https://www.wikidata.org/wiki/Q846780","display_name":"Kalman filter","level":2,"score":0.8534867763519287},{"id":"https://openalex.org/C96250715","wikidata":"https://www.wikidata.org/wiki/Q965330","display_name":"Estimation","level":2,"score":0.5443789958953857},{"id":"https://openalex.org/C2777027219","wikidata":"https://www.wikidata.org/wiki/Q1284190","display_name":"Constant (computer programming)","level":2,"score":0.5138302445411682},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4901481568813324},{"id":"https://openalex.org/C206833254","wikidata":"https://www.wikidata.org/wiki/Q5421817","display_name":"Extended Kalman filter","level":3,"score":0.46576833724975586},{"id":"https://openalex.org/C50050547","wikidata":"https://www.wikidata.org/wiki/Q6927137","display_name":"Moving horizon estimation","level":4,"score":0.44800761342048645},{"id":"https://openalex.org/C167928553","wikidata":"https://www.wikidata.org/wiki/Q1376021","display_name":"Estimation theory","level":2,"score":0.4443528354167938},{"id":"https://openalex.org/C87698059","wikidata":"https://www.wikidata.org/wiki/Q1808960","display_name":"LTI system theory","level":3,"score":0.44214928150177},{"id":"https://openalex.org/C8639503","wikidata":"https://www.wikidata.org/wiki/Q6059511","display_name":"Invariant extended Kalman filter","level":4,"score":0.4165935814380646},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.40451478958129883},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3859999179840088},{"id":"https://openalex.org/C47446073","wikidata":"https://www.wikidata.org/wiki/Q5165890","display_name":"Control theory (sociology)","level":3,"score":0.36306360363960266},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3569449484348297},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.24412167072296143},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.1520366668701172},{"id":"https://openalex.org/C2775924081","wikidata":"https://www.wikidata.org/wiki/Q55608371","display_name":"Control (management)","level":2,"score":0.15077325701713562},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.07982254028320312},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C6802819","wikidata":"https://www.wikidata.org/wiki/Q1072174","display_name":"Linear system","level":2,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1080/0232929031000150373","doi":"https://doi.org/10.1080/0232929031000150373","is_oa":false,"landing_page_url":"https://doi.org/10.1080/0232929031000150373","pdf_url":null,"source":{"id":"https://openalex.org/S100621616","display_name":"Systems Analysis Modelling Simulation","issn_l":"0232-9298","issn":["0232-9298","1026-7824","1029-4902"],"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Systems Analysis Modelling Simulation","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"score":0.41999998688697815,"display_name":"Industry, innovation and infrastructure","id":"https://metadata.un.org/sdg/9"}],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":18,"referenced_works":["https://openalex.org/W228672351","https://openalex.org/W1540262613","https://openalex.org/W1971547753","https://openalex.org/W1986787788","https://openalex.org/W2029056003","https://openalex.org/W2036814611","https://openalex.org/W2037990793","https://openalex.org/W2060539744","https://openalex.org/W2076209196","https://openalex.org/W2081475112","https://openalex.org/W2083209580","https://openalex.org/W2110321237","https://openalex.org/W2110345046","https://openalex.org/W2136400630","https://openalex.org/W2169480381","https://openalex.org/W2170584503","https://openalex.org/W3123462387","https://openalex.org/W4285719527"],"related_works":["https://openalex.org/W1035502194","https://openalex.org/W4206024512","https://openalex.org/W2966342863","https://openalex.org/W2012543870","https://openalex.org/W2885522204","https://openalex.org/W2099544223","https://openalex.org/W1573859018","https://openalex.org/W4251849255","https://openalex.org/W3178140192","https://openalex.org/W791889001"],"abstract_inverted_index":{"Beta":[0],"parameter":[1,53],"is":[2,29,36,46,62],"used":[3],"in":[4,6],"finance":[5],"the":[7,47,56,67,71],"form":[8],"of":[9,43,49,66],"market":[10,69],"model":[11],"to":[12,20,64],"estimate":[13],"systematic":[14],"risk.":[15],"Such":[16],"\u03b2s":[17,54],"are":[18],"assumed":[19],"be":[21],"time":[22],"invariant.":[23],"Literature":[24],"shows":[25],"that":[26,33],"now":[27],"there":[28],"a":[30],"considerable":[31],"evidence":[32],"\u03b2":[34],"risk":[35],"not":[37],"constant":[38],"over":[39,70],"time.":[40],"The":[41],"aim":[42],"this":[44],"article":[45],"estimation":[48],"time-varying":[50],"Italian":[51,68],"industry":[52],"using":[55],"Kalman":[57],"filter":[58],"technique.":[59],"This":[60],"approach":[61],"applied":[63],"returns":[65],"period":[72],"1991-2001.":[73]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":1},{"year":2015,"cited_by_count":2},{"year":2013,"cited_by_count":1}],"updated_date":"2026-09-27T08:07:27.782135","created_date":"2025-10-10T00:00:00"}