Forecasting the weekly time-varying beta of UK firms : GARCH models vs. Kalman filter method
Taufiq Choudhry and Hao Wu
| Year of publication: |
2009
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|---|---|
| Authors: | Choudhry, Taufiq ; Wu, Hao |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 15.2009, 3/4, p. 437-444
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| Subject: | ARCH-Modell | ARCH model | Zustandsraummodell | State space model | Prognoseverfahren | Forecasting model | CAPM | Kapitaleinkommen | Capital income | Großbritannien | United Kingdom | 2001-2003 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003875496