Oil price volatility and the dynamic systematic risk in Kuwait's equity sector portfolio using the Kalman filter approach
Abdulwahab A. Alsarhan; Ahmed A. A. Khalifa and Omar Al-Titi
| Year of publication: |
2013
|
|---|---|
| Authors: | Alsarhan, Abdulwahab A. ; Khalifa, Ahmed A. A. ; Al-Titi, Omar |
| Published in: |
American journal of finance and accounting. - Genève : Inderscience Enterprises Ltd., ISSN 1752-7767, ZDB-ID 2449731-9. - Vol. 3.2013/2014, 1, p. 24-40
|
| Subject: | oil price volatility | systematic risk | financial crises | Kalman filter | Kuwaiti sectors | Kuwait | Volatilität | Volatility | Ölpreis | Oil price | Zustandsraummodell | State space model | Portfolio-Management | Portfolio selection | CAPM | Risiko | Risk | Ölmarkt | Oil market |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010403324