Timeâ€Varying Beta Risk of Australian Industry Portfolios: A Comparison of Modelling Techniques
Year of publication: |
1998
|
---|---|
Authors: | Brooks, Robert D. ; Faff, Robert W. ; McKenzie, Michael D. |
Published in: |
Australian Journal of Management. - Australian School of Business. - Vol. 23.1998, 1, p. 1-22
|
Publisher: |
Australian School of Business |
Subject: | TIMEâ€VARYING BETA | GARCH | KALMAN FILTER |
-
FORECASTING INTEREST RATES - A COMPARATIVE ASSESSMENT OF SOME SECOND GENERATION NON-LINEAR MODELS
Nachane, Dilip M., (2005)
-
Ortas, E., (2015)
-
The effects of different inflation risk premiums on interest rate spreads
Berument, Hakan, (2004)
- More ...
-
A multi-country study of power ARCH models and national stock market returns
Brooks, Robert D., (2000)
-
Exploring the economic rationale of extremes in GARCH generated betas The case of U.S. banks
McKenzie, Michael D., (2000)
-
Time-varying beta risk of Australian industry portfolios : a comparison of modelling techniques
Brooks, Robert, (1998)
- More ...