Time-varying beta risk of Pan-European industry portfolios : a comparison of alternative modeling techniques
Sascha Mergner and Jan Bulla
| Year of publication: |
2008
|
|---|---|
| Authors: | Mergner, Sascha ; Bulla, Jan |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 14.2008, 7/8, p. 771-802
|
| Subject: | Betafaktor | Beta risk | ARCH-Modell | ARCH model | Zustandsraummodell | State space model | Monte-Carlo-Simulation | Monte Carlo simulation | Markov-Kette | Markov chain | EU-Staaten | EU countries |
| 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/10003816568