Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model
Fredj Jawadi, Wael Louhichi, Abdoulkarim Idi Cheffou, Hachmi Ben Ameur
| Year of publication: |
2019
|
|---|---|
| Authors: | Jawadi, Fredj ; Louhichi, Wael ; Cheffou, Abdoulkarim Idi ; Ben Ameur, Hachmi |
| Published in: |
Decision making and risk/return optimization in financial economics. - New York, NY, USA : Springer. - 2019, p. 275-295
|
| Subject: | Time-varying market beta | Bull and bear markets | Instability | Sustainable index nonlinearity | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Betafaktor | Beta risk | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Aktienindex | Stock index | CAPM | Theorie | Theory | Nichtlineare Regression | Nonlinear regression |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1007/s10479-018-2793-3 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012134816