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  • Search: subject:"dynamic conditional beta"
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Year of publication
Subject
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Beta risk 4 Betafaktor 4 dynamic conditional beta 4 CAPM 3 Capital income 3 Kapitaleinkommen 3 Portfolio selection 3 Portfolio-Management 3 Risikoprämie 3 Risk premium 3 Theorie 3 Theory 3 and expected stock returns 3 Dynamic conditional beta 2 Estimation 2 ICAPM 2 Schätzung 2 conditional CAPM 2 ARCH model 1 ARCH-Modell 1 Asset pricing 1 Autoregressive conditional beta 1 Börsenkurs 1 Capital market returns 1 CoVaR 1 Correlation 1 Cox proportional hazard model 1 Early warning system 1 Financial crisis 1 Finanzkrise 1 Frühwarnsystem 1 Immobilienfonds 1 Kapitalmarktrendite 1 Korrelation 1 Measurement 1 Messung 1 Multivariate GARCH 1 REITs 1 Real estate 1 Real estate fund 1
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Online availability
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Undetermined 4 Free 2
Type of publication
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Article 4 Book / Working Paper 2
Type of publication (narrower categories)
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Article in journal 3 Aufsatz in Zeitschrift 3 Aufsatz im Buch 1 Book section 1 Working Paper 1
Language
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English 5 Undetermined 1
Author
All
Bali, Turan G. 3 Engle, Robert F. 3 Tang, Yi 3 Aloy, Marcel 1 Cipollini, Fabrizio 1 Eraslan, Veysel 1 Giannozzi, Alessandro 1 Laly, Floris 1 Laurent, Sébastien 1 Lecourt, Christelle 1 Menchetti, Fiammetta 1 Roggi, Oliviero 1 Terregrossa, Salvatore Joseph 1
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Institution
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İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi 1
Published in...
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International journal of financial engineering 1 Koç University-TUSIAD Economic Research Forum Working Papers 1 Management science : journal of the Institute for Operations Research and the Management Sciences 1 Recent econometric techniques for macroeconomic and financial data 1 The quarterly journal of finance 1 Working Paper 1
Source
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ECONIS (ZBW) 4 EconStor 1 RePEc 1
Showing 1 - 6 of 6
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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
Beta coefficients are the cornerstone of asset pricing theory in the CAPM and multiple factor models. This chapter proposes a review of different time series models used to estimate static and time-varying betas, and a comparison on real data. The analysis is performed on the USA and developed...
Persistent link: https://www.econbiz.de/10012395467
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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
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Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns
Bali, Turan G.; Engle, Robert F.; Tang, Yi - 2013
This paper investigates the significance of dynamic conditional beta in predicting the cross-sectional variation in … relation between dynamic conditional beta and future returns on individual stocks. An investment strategy that goes long stocks …
Persistent link: https://www.econbiz.de/10010500239
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Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns
Bali, Turan G.; Engle, Robert F.; Tang, Yi - İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi - 2013
This paper investigates the significance of dynamic conditional beta in predicting the cross-sectional variation in … relation between dynamic conditional beta and future returns on individual stocks. An investment strategy that goes long stocks …
Persistent link: https://www.econbiz.de/10010610574
Saved in:
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Financial companies' failures : early warning information from systematic and systemic risk measures
Cipollini, Fabrizio; Giannozzi, Alessandro; Menchetti, … - In: The quarterly journal of finance 8 (2018) 4, pp. 1-20
Persistent link: https://www.econbiz.de/10011922064
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Dynamic conditional beta is alive and well in the cross section of daily stock returns
Bali, Turan G.; Engle, Robert F.; Tang, Yi - In: Management science : journal of the Institute for … 63 (2017) 11, pp. 3760-3779
Persistent link: https://www.econbiz.de/10011772757
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