Improved beta modeling and forecasting : an unobserved component approach with conditional heteroscedastic disturbances
E. Ortas, M. Salvador, J.M. Moneva
| Year of publication: |
January 2015
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| Authors: | Ortas, E. ; Salvador, Manuel ; Moneva, J. M. |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 31.2015, p. 27-51
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| Subject: | State-space models | Dynamic betas | Kalman filter | GARCH | Zustandsraummodell | State space model | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Schätztheorie | Estimation theory | CAPM | Betafaktor | Beta risk | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2014.10.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011511029