Generalized autoregressive conditional betas : a new multivariate score-driven filter
Szabolcs Blazsek, August Jörding and Simran Rai
| Year of publication: |
2025
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|---|---|
| Authors: | Blazsek, Szabolcs ; Jörding, August ; Rai, Simran |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 29.2025, 1, p. 95-128
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| Subject: | autoregressive conditional beta (ACB) | dynamic conditional score (DCS) | generalized autoregressive score (GAS) | maximum likelihood (ML) estimation | score-driven volatility | systematic risk | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | CAPM | Volatilität | Volatility | ARCH-Modell | ARCH model | Betafaktor | Beta risk | Schätzung | Estimation | Risiko | Risk | Autokorrelation | Autocorrelation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2023-0019 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015437854