Time-varying Beta Risk of Pan-European Sectors: A Comparison of Alternative Modeling Techniques
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Cited by:
- He, Zhongzhi (Lawrence) & Kryzanowski, Lawrence, 2008. "Dynamic betas for Canadian sector portfolios," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 1110-1122, December.
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More about this item
Keywords
Time-varying beta risk; Kalman filter; bivariate t-GARCH; stochastic volatility; efficient Monte Carlo likelihood; European industry portfolios;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-EEC-2005-09-29 (European Economics)
- NEP-FIN-2005-09-29 (Finance)
- NEP-FMK-2005-09-29 (Financial Markets)
- NEP-FOR-2005-09-29 (Forecasting)
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