Forecasting time-varying daily betas : a new nonlinear approach
Petros Messis and Achilleas Zapranis (Department of Accounting and Finance, University of Macedonia, Thessaloniki, Greece)
| Year of publication: |
2016
|
|---|---|
| Authors: | Messis, Petros ; Zapranis, Achilleas |
| Published in: |
Managerial finance. - Bingley : Emerald Group Publishing Limited, ISSN 0307-4358, ZDB-ID 750561-9. - Vol. 42.2016, 2, p. 54-73
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| Subject: | Finance | Financial modelling | Financial forecasting | Prognoseverfahren | Forecasting model | Portfolio-Management | Portfolio selection | Betafaktor | Beta risk | Finanzmarkt | Financial market | Nichtlineare Regression | Nonlinear regression | Prognose | Forecast | Kapitalmarkttheorie | Financial economics | Börsenkurs | Share price | Schätzung | Estimation | CAPM | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1108/MF-08-2014-0230 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011539290