Time-varying Betas of the Banking Sector
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- Tomas Adam & Sona Benecka & Ivo Jansky, 2012. "Time-Varying Betas of Banking Sectors," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(6), pages 485-504, December.
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Cited by:
- Amine Ben Amar & Ikrame Ben Slimane & Makram Bellalah, 2017. "Are Non-Conventional Banks More Resilient than Conventional Ones to Financial Crisis?," Working Papers hal-01455752, HAL.
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- Dejan Zivkov & Slavica Manic & Jasmina Duraskovic & Jelena Kovacevic, 2019. "Bidirectional Nexus between Inflation and Inflation Uncertainty in the Asian Emerging Markets – The GARCH-in-Mean Approach," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 69(6), pages 580-599, December.
- repec:cnb:ocpubv:rb12/1 is not listed on IDEAS
- repec:cnb:ocpubv:rb11/1 is not listed on IDEAS
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More about this item
Keywords
CAPM; Time-varying Beta; Multivariate GARCH; Bayesian State Space Models; Stochastic Volatility;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2012-10-06 (Banking)
- NEP-CBA-2012-10-06 (Central Banking)
- NEP-ORE-2012-10-06 (Operations Research)
- NEP-RMG-2012-10-06 (Risk Management)
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