Search Results - subject:"Sequential conditional least squares (SCLS)"

Does Beta React to Market Conditions? Estimates of Bull and Bear Betas using a Nonlinear Market Model with an Endogenous Threshold Parameter

Woodward, George; Anderson, Heather - Department of Econometrics and Business Statistics, … - 2003

along with the two betas in a dual beta market (DBM) framework using a sequential conditional least squares (SCLS) method …

Persistent link: https://www.econbiz.de/10005149071

Does beta react to market conditions? Estimates of 'bull' and 'bear' betas using a nonlinear market model with an endogenous threshold parameter

Woodward, George; Anderson, Heather - In: Quantitative Finance 9 (2009) 8, pp. 913-924

The authors use a logistic smooth transition market (LSTM) model to investigate whether 'bull' and 'bear' market betas for Australian industry portfolios returns differ. The LSTM model allows the data to determine a threshold parameter that differentiates between 'bull' and 'bear' states, and it...

Persistent link: https://www.econbiz.de/10008609633