Dynamic conditional beta
Robert F. Engle
| Year of publication: |
2016
|
|---|---|
| Authors: | Engle, Robert F. |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 14.2016, 4, p. 643-667
|
| Subject: | DCC | GARCH | multivariate GARCH | multi-factor asset pricing | non-nested tests | SRISK | systemic risk | time varying parameters | ARCH-Modell | ARCH model | CAPM | Schätztheorie | Estimation theory | Systemrisiko | Systemic risk | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Schätzung | Estimation | Betafaktor | Beta risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbw006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011623818