Asset pricing using Block-Cholesky GARCH and time-varying betas

Stefano Grassi and Francesco Violante

Year of publication:	[2021]
Authors:	Grassi, Stefano ; Violante, Francesco
Publisher:	[Rom] : CEIS Tor Vergata
Subject:	Cholesky decomposition \| Multivariate GARCH \| Asset Pricing \| Time Varying Beta \| Two Pass Regression \| CAPM \| ARCH-Modell \| ARCH model \| Betafaktor \| Beta risk \| Börsenkurs \| Share price \| Schätztheorie \| Estimation theory \| Schätzung \| Estimation \| Zeitreihenanalyse \| Time series analysis

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