Multivariate time-varying parameter modelling for stock markets
Year of publication: |
2021
|
---|---|
Authors: | Neslihanoglu, Serdar ; Bekiros, Stelios ; McColl, John H. ; Lee, Duncan |
Published in: |
Empirical economics : a quarterly journal of the Institute for Advanced Studies. - Berlin : Springer, ISSN 1435-8921, ZDB-ID 1462176-9. - Vol. 61.2021, 2, p. 947-972
|
Subject: | CAPM | Multivariate model | State space model | Stock market returns | Systematic covariance (beta) risk | Time-varying beta | Zustandsraummodell | Betafaktor | Beta risk | Aktienmarkt | Stock market | Kapitaleinkommen | Capital income | Schätzung | Estimation | Multivariate Analyse | Multivariate analysis | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Korrelation | Correlation | Börsenkurs | Share price | Risiko | Risk |
-
Gungor, Sermin, (2016)
-
Correlated idiosyncratic volatility shocks
Qiao, Xiao, (2021)
-
Shephard, Neil G., (2017)
- More ...
-
Nonlinearities in the CAPM : evidence from developed and emerging markets
Neslihanoglu, Serdar, (2017)
-
Neslihanoglu, Serdar, (2021)
-
Neslihanoglu, Serdar, (2021)
- More ...