Quantitative Finance
F-series
Date:
Number:CARF-F-032
Style Analysis Based on a General State Space Model and Monte Carlo Filter (Revised in May 2007)
Abstract
This paper proposes a new approach to style analysis by utilizing a general state space model and Monte Carlo filter. In particular,We regard coefficients of style indices as state variables in the state space model and apply Monte Carlo filter as estimation method. Moreover, an empirical analysis using actual funds' data confirms the validity of our approach.