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Modeling time-varying conditional betas : a comparison of methods with application for REITs
Aloy, Marcel
;
Laly, Floris
;
Laurent, Sébastien
; …
- In:
Recent econometric techniques for macroeconomic and …
,
(pp. 229-264)
.
2021
autoregressive
conditional
beta
models outperform the other methods. …
Persistent link: https://www.econbiz.de/10012395467
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