Autoregressive conditional betas
F. Blasques, Christian Francq, Sébastien Laurent
| Year of publication: |
2024
|
|---|---|
| Authors: | Blasques, F. ; Francq, Christian ; Laurent, Sébastien |
| Subject: | Betas | GARCH model | Score driven model | Time-varying parameters | ARCH-Modell | ARCH model | Betafaktor | Beta risk | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | CAPM | Schätzung | Estimation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2023.105630 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015073921