Forecasting the daily time‐varying beta of European banks during the crisis period : comparison between GARCH models and the Kalman filter
Yuanyuan Zhang and Taufiq Choudhry
| Year of publication: |
December 2017
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|---|---|
| Authors: | Zhang, Yuanyuan ; Choudhry, Taufiq |
| Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 36.2017, 8, p. 956-973
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| Subject: | forecasting | Kalman filter | GARCH | time‐varying beta | financial crisis | volatility | ARCH-Modell | ARCH model | Zustandsraummodell | State space model | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Finanzkrise | Financial crisis | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.2442 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011860929