Multivariate time-varying parameter modelling for stock markets
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DOI: 10.1007/s00181-020-01896-2
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More about this item
Keywords
CAPM; Multivariate model; State space model; Stock market returns; Systematic covariance (beta) risk; Time-varying beta;All these keywords.
JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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