What if beta is not stable? Applying the Kalman filter to risk estimates of top US companies over the long time horizon
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More about this item
Keywords
rate of return; beta parameter; time-varying model; Kalman filter; US stock market;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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