Forecasting realized betas using predictors indicating structural breaks and asymmetric risk effects
Jiawen Luo, Zhenbiao Chen, Mingmian Cheng
| Year of publication: |
2025
|
|---|---|
| Authors: | Luo, Jiawen ; Chen, Zhenbiao ; Cheng, Mingmian |
| Subject: | Realized beta | Structural break | Asymmetric risk | HAR model | LASSO | Strukturbruch | Betafaktor | Beta risk | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Risiko | Risk | Kapitaleinkommen | Capital income |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2024.101575 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015329724