Lie, Frida; Brooks, Robert; Faff, Robert - In: Australian Economic Papers 39 (2000) 3, pp. 301-11
In this paper we apply the generalised auto-regressive conditional heteroskedasticity (GARCH) and Kalman Filter approaches to modelling the equity beta risk of a sample of fifteen Australian financial sector companies. A de-regulated environment in which strong competitive forces are at play...