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Time Varying Beta Risk: An Analysis of Alternative Modelling Techniques

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Cited by:

  1. 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.
  2. Xiao-Ming Li, 2014. "Asset Pricing and Share Reforms: An Anatomy of China’s Investable Stocks," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(1), pages 15-34, March.
  3. Bai, Ye & Green, Christopher J., 2020. "Country and industry factors in tests of Capital Asset Pricing Models for partially integrated emerging markets," Economic Modelling, Elsevier, vol. 92(C), pages 180-194.
  4. Hollstein, Fabian, 2020. "Estimating beta: The international evidence," Journal of Banking & Finance, Elsevier, vol. 121(C).
  5. Radosław Kurach, 2013. "Does Beta Explain Global Equity Market Volatility – Some Empirical Evidence," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 7(2), June.
  6. Rapheedah Musneh & Mohd. Rahimie Abdul Karim & Caroline Geetha A/P Arokiadasan Baburaw, 2021. "Liquidity risk and stock returns: empirical evidence from industrial products and services sector in Bursa Malaysia," Future Business Journal, Springer, vol. 7(1), pages 1-10, December.
  7. Francisco José López-Arceiz & Ana José Bellostas-Pérezgrueso & José Mariano Moneva, 2018. "Evaluation of the Cultural Environment’s Impact on the Performance of the Socially Responsible Investment Funds," Journal of Business Ethics, Springer, vol. 150(1), pages 259-278, June.
  8. Асатуров К.Г., 2015. "Динамические Модели Систематического Риска: Сравнение На Примере Индийского Фондового Рынка," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 51(4), pages 59-75, октябрь.
  9. Szczepocki Piotr, 2019. "Clustering Companies Listed on the Warsaw Stock Exchange According to Time-Varying Beta," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 23(2), pages 63-79, June.
  10. Serdar Neslihanoglu & Stelios Bekiros & John McColl & Duncan Lee, 2021. "Multivariate time-varying parameter modelling for stock markets," Empirical Economics, Springer, vol. 61(2), pages 947-972, August.
  11. Ortas, E. & Salvador, M. & Moneva, J.M., 2015. "Improved beta modeling and forecasting: An unobserved component approach with conditional heteroscedastic disturbances," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 27-51.
  12. Charles S. Bos & Phillip Gould, 2007. "Dynamic Correlations and Optimal Hedge Ratios," Tinbergen Institute Discussion Papers 07-025/4, Tinbergen Institute.
  13. Tofallis, Chris, 2008. "Investment volatility: A critique of standard beta estimation and a simple way forward," European Journal of Operational Research, Elsevier, vol. 187(3), pages 1358-1367, June.
  14. Taufiq Choudhry & Hao Wu, 2008. "Forecasting ability of GARCH vs Kalman filter method: evidence from daily UK time-varying beta," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(8), pages 670-689.
  15. Marshall, Andrew & Maulana, Tubagus & Tang, Leilei, 2009. "The estimation and determinants of emerging market country risk and the dynamic conditional correlation GARCH model," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 250-259, December.
  16. Härdle, Wolfgang Karl & Hautsch, Nikolaus & Pigorsch, Uta, 2008. "Measuring and modeling risk using high-frequency data," SFB 649 Discussion Papers 2008-045, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  17. Yih Su & Jing-Shiang Hwang, 2009. "A two-phase approach to estimating time-varying parameters in the capital asset pricing model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 36(1), pages 79-89.
  18. Sascha Mergner & Jan Bulla, 2008. "Time-varying beta risk of Pan-European industry portfolios: A comparison of alternative modeling techniques," The European Journal of Finance, Taylor & Francis Journals, vol. 14(8), pages 771-802.
  19. Daniel Thomson & Gary van Vuuren, 2018. "Attribution of hedge fund returns using a Kalman filter," Applied Economics, Taylor & Francis Journals, vol. 50(9), pages 1043-1058, February.
  20. Stephen Lee, 2008. "Is The Uk Real Estate Market Converging With The Rest Of Europe?," ERES eres2008_192, European Real Estate Society (ERES).
  21. Ortas, Eduardo & Moneva, José M. & Salvador, Manuel, 2012. "Does socially responsible investment equity indexes in emerging markets pay off? Evidence from Brazil," Emerging Markets Review, Elsevier, vol. 13(4), pages 581-597.
  22. Yunmi Kim, 2012. "Autoregressive conditional beta," Economics Bulletin, AccessEcon, vol. 32(2), pages 1489-1494.
  23. 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.
  24. Ekaterina Dorodnykh, 2012. "What Is the Degree of Convergence among Developed Equity Markets?," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 3(2), pages 2-16, April.
  25. M. V. Esteban & E. Ferreira & S. Orbe-Mandaluniz, 2015. "Nonparametric methods for estimating and testing for constant betas in asset pricing models," Applied Economics, Taylor & Francis Journals, vol. 47(25), pages 2577-2607, May.
  26. Onour , Ibrahim A., 2021. "Modeling and assessing systematic risk in stock markets in major oil exporting countries," Economic Consultant, Roman I. Ostapenko, vol. 35(3), pages 18-29.
  27. Jan Bo Jakobsen & Torben Voetmann, 2003. "Post-acquisition performance in the short and long run. Evidence from the Copenhagen Stock Exchange 1993-1997," The European Journal of Finance, Taylor & Francis Journals, vol. 9(4), pages 323-342.
  28. Onour, Ibrahim, 2009. "Natural Gas markets:How Sensitive to Crude Oil Price Changes?," MPRA Paper 14937, University Library of Munich, Germany.
  29. Insana, Alessandra, 2022. "Does systematic risk change when markets close? An analysis using stocks’ beta," Economic Modelling, Elsevier, vol. 109(C).
  30. Ibrahim Onour, "undated". "Exploring Stability of Systematic Risk: Sectoral Portfolio Analysis," API-Working Paper Series 1002, Arab Planning Institute - Kuwait, Information Center.
  31. Roman Mestre, 2021. "A wavelet approach of investing behaviors and their effects on risk exposures," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-37, December.
  32. Hisham Al Refai & Gazi Mainul Hassan, 2018. "The Impact of Market-wide Volatility on Time-varying Risk: Evidence from Qatar Stock Exchange," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(2_suppl), pages 239-258, August.
  33. Magdalena Mikolajek-Gocejna, 2021. "Estimation, Instability, and Non-Stationarity of Beta Coefficients for Twenty-four Emerging Markets in 2005-2021," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 370-395.
  34. Yoonsik Hong & Yanghoon Kim & Jeonghun Kim & Yongmin Choi, 2022. "Index Tracking via Learning to Predict Market Sensitivities," Papers 2209.00780, arXiv.org, revised Dec 2022.
  35. Bhar, Ramaprasad & Hamori, Shigeyuki, 2007. "Co-movement in the price of risk of aggregate equity markets," Economic Systems, Elsevier, vol. 31(3), pages 256-271, September.
  36. Onour, Ibrahim, 2008. "Forward-Looking Beta Estimates:Evidence from an Emerging Market," MPRA Paper 14992, University Library of Munich, Germany.
  37. Ramaprasad Bhar, 2010. "Stochastic Filtering with Applications in Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736, December.
  38. Zhou, Jian, 2013. "Conditional market beta for REITs: A comparison of modeling techniques," Economic Modelling, Elsevier, vol. 30(C), pages 196-204.
  39. Bulla, Jan & Bulla, Ingo, 2006. "Stylized facts of financial time series and hidden semi-Markov models," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2192-2209, December.
  40. Bilbao, A. & Arenas, M. & Rodriguez, M.V. & Antomil, J., 2007. "On constructing expert Betas for single-index model," European Journal of Operational Research, Elsevier, vol. 183(2), pages 827-847, December.
  41. T. McCluskey & B. M. Burton & D. M. Power & C. D. Sinclair, 2006. "Evidence on the Irish stock market's reaction to dividend announcements," Applied Financial Economics, Taylor & Francis Journals, vol. 16(8), pages 617-628.
  42. Baule, Rainer & Korn, Olaf & Saßning, Sven, 2013. "Which beta is best? On the information content of option-implied betas," CFR Working Papers 13-11, University of Cologne, Centre for Financial Research (CFR).
  43. Chris Tofallis, 2011. "Investment Volatility: A Critique of Standard Beta Estimation and a Simple Way Forward," Papers 1109.4422, arXiv.org.
  44. Francesco Guidi, 2009. "Volatility and Long-Term Relations in Equity Markets: Empirical Evidence from Germany, Switzerland, and the UK," The IUP Journal of Financial Economics, IUP Publications, vol. 0(2), pages 7-39, June.
  45. Daya, Wael & Mazouz, Khelifa & Freeman, Mark, 2012. "Information efficiency changes following FTSE 100 index revisions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(4), pages 1054-1069.
  46. Magdalena Mikolajek-Gocejna, 2022. "Systematic Risk of ESG Companies Listed on the Polish Capital Market in 2019-2022," European Research Studies Journal, European Research Studies Journal, vol. 0(2), pages 597-615.
  47. Dierkes, Maik & Hollstein, Fabian & Prokopczuk, Marcel & Würsig, Christoph Matthias, 2024. "Measuring tail risk," Journal of Econometrics, Elsevier, vol. 241(2).
  48. Geonwoo Kim & Hyuncheul Lim & Sungchul Lee, 2015. "On pricing options with stressed-beta in a reduced form model," Review of Derivatives Research, Springer, vol. 18(1), pages 29-50, April.
  49. Yi-Chang Chen & Hung-Che Wu & Yuanyuan Zhang & Shih-Ming Kuo, 2021. "A Transmission of Beta Herding during Subprime Crisis in Taiwan’s Market: DCC-MIDAS Approach," IJFS, MDPI, vol. 9(4), pages 1-16, December.
  50. Shuxing Yin & Khelifa Mazouz & Abdelhafid Benamraoui & Brahim Saadouni, 2018. "Stock price reaction to profit warnings: the role of time-varying betas," Review of Quantitative Finance and Accounting, Springer, vol. 50(1), pages 67-93, January.
  51. Seth Armitage & Janusz Brzeszczynski, 2011. "Heteroscedasticity and interval effects in estimating beta: UK evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 21(20), pages 1525-1538.
  52. Yuxin Liu & Jimin Lin & Achintya Gopal, 2024. "NeuralBeta: Estimating Beta Using Deep Learning," Papers 2408.01387, arXiv.org, revised Oct 2024.
  53. Barbara Bedowska-Sojka, 2017. "Evaluating the Accuracy of Time-varying Beta. The Evidence from Poland," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 17, pages 161-176.
  54. Korn, Olaf & Kuntz, Laura-Chloé, 2015. "Low-beta investment strategies," CFR Working Papers 15-17, University of Cologne, Centre for Financial Research (CFR).
  55. Prukumpai, Suthawan, 2015. "Time-varying Industrial Portfolio Betas under the Regime-switching Model:Evidence from the Stock Exchange of Thailand," Asian Journal of Applied Economics, Kasetsart University, Center for Applied Economics Research, vol. 22(2), December.
  56. Holmes, Kathryn A. & Faff, Robert, 2008. "Estimating the performance attributes of Australian multi-sector managed funds within a dynamic Kalman filter framework," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 998-1011, December.
  57. Dr. Ibrahim Onour, "undated". "The Global Financial Crisis and Equity Markets in Middle East Oil Exporting Countries," API-Working Paper Series 1009, Arab Planning Institute - Kuwait, Information Center.
  58. Wang, Lu, 2021. "Time-varying conditional beta, return spillovers, and dynamic bank diversification strategies," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 272-280.
  59. Luke Lin & Wen-Yuan Lin, 2018. "Does the major market influence transfer? Alternative effect on Asian stock markets," Review of Quantitative Finance and Accounting, Springer, vol. 50(4), pages 1169-1200, May.
  60. Mehmet Balcilar & Riza Demirer & Festus V. Bekun, 2021. "Flexible Time-Varying Betas in a Novel Mixture Innovation Factor Model with Latent Threshold," Mathematics, MDPI, vol. 9(8), pages 1-20, April.
  61. Maik Eisenbeiss & Goran Kauermann & Willi Semmler, 2007. "Estimating Beta-Coefficients of German Stock Data: A Non-Parametric Approach," The European Journal of Finance, Taylor & Francis Journals, vol. 13(6), pages 503-522.
  62. Sascha Mergner, 2005. "Time-varying Beta Risk of Pan-European Sectors: A Comparison of Alternative Modeling Techniques," Finance 0509024, University Library of Munich, Germany.
  63. Xiao‐Ming Li, 2003. "China: Further Evidence on the Evolution of Stock Markets in Transition Economies," Scottish Journal of Political Economy, Scottish Economic Society, vol. 50(3), pages 341-358, August.
  64. Taufiq Choudhry & Hao Wu, 2009. "Forecasting the weekly time-varying beta of UK firms: GARCH models vs. Kalman filter method," The European Journal of Finance, Taylor & Francis Journals, vol. 15(4), pages 437-444.
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