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~subject:"ARCH model"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Beta-Faktor"
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ARCH model
Beta risk
354
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354
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291
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Maheu, John M.
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1
A multivariate GARCH-jump mixture model
Li, Chenxing
;
Maheu, John M.
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 182-207
Persistent link: https://www.econbiz.de/10014443194
Saved in:
2
Betas in the time of corona : a conditional CAPM approach using multivariate GARCH model for India
Jain, Sonali
- In:
Managerial finance
48
(
2022
)
2
,
pp. 243-257
Persistent link: https://www.econbiz.de/10013173288
Saved in:
3
Statistical inference of spot correlation and spot market beta under infinite variation jumps
Liu, Qiang
;
Liu, Zhi
- In:
Journal of financial econometrics
20
(
2022
)
4
,
pp. 612-654
Persistent link: https://www.econbiz.de/10013349148
Saved in:
4
Realized volatility, jump and beta : evidence from Canadian stock market
Gajurel, Dinesh
;
Chowdhury, Biplob
- In:
Applied economics
53
(
2021
)
55
,
pp. 6376-6397
Persistent link: https://www.econbiz.de/10012697913
Saved in:
5
Long- and short-run components of factor betas : implications for stock pricing
Asgharian, Hossein
;
Christiansen, Charlotte
;
Hou, Ai Jun
; …
- In:
Journal of international financial markets, …
74
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012803274
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6
Multivariate time-varying parameter modelling for stock markets
Neslihanoglu, Serdar
;
Bekiros, Stelios
;
McColl, John H.
; …
- In:
Empirical economics : a quarterly journal of the …
61
(
2021
)
2
,
pp. 947-972
Persistent link: https://www.econbiz.de/10012616913
Saved in:
7
Nonparametric dynamic conditional beta
Maheu, John M.
;
Zamenjani, Azam Shamsi
- In:
Journal of financial econometrics
19
(
2021
)
4
,
pp. 583-613
Persistent link: https://www.econbiz.de/10012654975
Saved in:
8
Time-varying beta, market volatility and stress : a comparison between the United States and India
Chakrabarti, Gagari
- In:
IIMB management review
33
(
2021
)
1
,
pp. 50-63
Persistent link: https://www.econbiz.de/10013205186
Saved in:
9
Dynamic conditional betas and equity returns
Terregrossa, Salvatore Joseph
;
Eraslan, Veysel
- In:
International journal of financial engineering
7
(
2020
)
4
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012603747
Saved in:
10
Return prediction with time varying betas : a research in BIST
Akyatan, Ayca
;
Çetin, M. Koray
- In:
International journal of accounting and finance
10
(
2020
)
1
,
pp. 64-86
Persistent link: https://www.econbiz.de/10012504722
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