Time-varying betas of sectoral returns to market returns and exchange rate movements
Hyunjoo Kim Karlsson and Scott R. Hacker
| Year of publication: |
2013
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|---|---|
| Authors: | Karlsson, Hyunjoo Kim ; Hacker, Scott |
| Published in: |
Applied financial economics. - London : Routledge, ISSN 0960-3107, ZDB-ID 1077973-5. - Vol. 23.2013, 13/15, p. 1155-1168
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| Subject: | exchange rate risk | time-varying beta | Kalman filter | sectoral returns | Kapitaleinkommen | Capital income | Wechselkurs | Exchange rate | CAPM | Betafaktor | Beta risk | Zustandsraummodell | State space model | Volatilität | Volatility | Währungsrisiko | Exchange rate risk | Schätzung | Estimation | Theorie | Theory | Risikoprämie | Risk premium | Großbritannien | United Kingdom |
| 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/10010204788