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Kalman filter 1 beta hedging 1 market model 1 state-space methodology 1 systematic risk 1
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Article 1
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Kurach, Radosław 1 Stelmach, Jerzy 1
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Journal for Economic Forecasting 1
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Time-Varying Behaviour of Sector Beta Risk – The Case of Poland
Kurach, Radosław; Stelmach, Jerzy - In: Journal for Economic Forecasting (2014) 1, pp. 139-159
The problem of proper beta (measure of systematic risk) estimation is crucial both for academic considerations and financial market practice purposes. There is a group of empirical studies that questioned the assumption of beta time-invariance, while only some of them tried to model the process...
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