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  • Search: subject:"time‐varying beta"
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Year of publication
Subject
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CAPM 45 Beta risk 38 Betafaktor 38 time-varying beta 29 Time-varying beta 26 Estimation 25 Schätzung 25 Capital income 21 Kapitaleinkommen 21 ARCH model 16 ARCH-Modell 16 Portfolio-Management 15 Portfolio selection 14 Stock market 14 Aktienmarkt 13 Börsenkurs 13 Share price 13 Theorie 13 Theory 12 GARCH 11 Financial crisis 10 Finanzkrise 10 Risk 10 Volatility 10 Volatilität 10 Estimation theory 9 Kalman filter 9 Risiko 9 Schätztheorie 9 Time series analysis 8 Zeitreihenanalyse 8 Asymmetric effect 7 BEKK 7 stochastic volatility 6 Multivariate GARCH 5 USA 5 Asset mispricing 4 Bayesian analysis 4 Cointegration 4 Conditional CAPM 4
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Online availability
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Undetermined 35 Free 22
Type of publication
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Article 62 Book / Working Paper 19
Type of publication (narrower categories)
All
Article in journal 40 Aufsatz in Zeitschrift 40 Working Paper 9 Arbeitspapier 5 Graue Literatur 5 Non-commercial literature 5 Article 2 research-article 2 Thesis 1
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Language
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English 56 Undetermined 24 Portuguese 1
Author
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Choudhry, Taufiq 6 Jayasekera, Ranadeva 6 Savona, Roberto 6 Mergner, Sascha 4 Amisano, Gianni 3 Antypas, Antonios 3 Caporale, Guglielmo Maria 3 Fonseca, José Soares da 3 Grassi, Stefano 3 Kourogenis, Nikolaos 3 Pittis, Nikitas 3 Violante, Francesco 3 Adam, Tomáš 2 Ang, Andrew 2 Anton, Sorin Gabriel 2 Bellalah, Makram 2 Ben Slimane, Ikrame 2 Bulla, Jan 2 Candido, Osvaldo 2 Chen, Ming-Chi 2 French, Jordan 2 GLOVA, Jozef 2 Jánský, Ivo 2 Kristensen, Dennis 2 Maldonado, Wilfredo Fernando Leiva 2 Morri, Giacomo 2 Ochem, Marie 2 Puah, Chin-Hong 2 Reiß, Markus 2 Rjiba, Hatem 2 Romito, Federico 2 Sing, Tien Foo 2 Todorov, Viktor 2 Yong, Ying-Kiu 2 de Pinho Ronzani, André Ricardo 2 Adam, Tomas 1 Aiube, Fernando Antônio Lucena 1 Alonso-Conde, Ana Belén 1 Baídya, Tara Keshar Nanda 1 Bekiros, Stelios 1
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Institution
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EconWPA 2 Departamento de Economía Aplicada III (Econometría y Estadística), Facultad de Ciencias Económicas y Empresariales 1 European Central Bank 1 Finance Discipline Group, Business School 1 Institut ekonomických studií, Univerzita Karlova v Praze 1 International Centre for Economic Research (ICER) 1 Stockholm China Economic Research Institute, Handelshögskolan i Stockholm 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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Published in...
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Finance 2 International Journal of Financial Studies 2 International Journal of Financial Studies : open access journal 2 International journal of economic policy in emerging economies 2 International review of financial analysis 2 Journal of Applied Economic Sciences Quarterly 2 Journal of empirical finance 2 Research in international business and finance 2 The European Journal of Finance 2 Applied economics 1 Applied financial economics 1 BILTOKI 1 CEIS Tor Vergata research papers : CEIS Tor Vergata research paper series 1 CESifo Working Paper 1 CESifo working papers 1 CREATES research paper 1 Computational economics 1 Czech Journal of Economics and Finance (Finance a uver) 1 ECB Working Paper 1 Economic modelling 1 Economic research 1 Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets 1 Empirical economics : a quarterly journal of the Institute for Advanced Studies 1 European Journal of Operational Research 1 European journal of operational research : EJOR 1 ICER Working Papers - Applied Mathematics Series 1 IES Working Paper 1 IIMB management review 1 International Economics and Economic Policy 1 International Journal of Economic Policy in Emerging Economies 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 International Review of Financial Analysis 1 International economics and economic policy : IEEP 1 International journal of finance & economics : IJFE 1 International journal of monetary economics and finance 1 International journal of strategic property management 1 Journal of Applied Management and Investments 1 Journal of Chinese Economic and Business Studies 1 Journal of Financial Economics 1 Journal of International Money and Finance 1
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Source
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ECONIS (ZBW) 45 RePEc 27 EconStor 6 Other ZBW resources 2 BASE 1
Showing 31 - 40 of 81
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Mutual funds dynamics and economic predictors
Amisano, Gianni; Savona, Roberto - In: Journal of financial econometrics : official journal of … 15 (2017) 2, pp. 302-330
Persistent link: https://www.econbiz.de/10011987457
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Forecasting the daily time‐varying beta of European banks during the crisis period : comparison between GARCH models and the Kalman filter
Zhang, Yuanyuan; Choudhry, Taufiq - In: Journal of forecasting 36 (2017) 8, pp. 956-973
Persistent link: https://www.econbiz.de/10011860929
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Does the equity premium puzzle persist during financial crisis? : the case of the French equity market
Bellelah, M. A.; Bellelah, M. O.; Ben Ameur, Hachmi; … - In: Research in international business and finance 39 (2017), pp. 851-866
Persistent link: https://www.econbiz.de/10011912395
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On asymmetric market model with heteroskedasticity and quantile regression
Chen, Cathy W. S.; Li, Muyi; Nguyen, Nga T. H.; Songsak … - In: Computational economics 49 (2017) 1, pp. 155-174
Persistent link: https://www.econbiz.de/10011751821
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Time-varying beta during the 2008 financial crisis : evidence from North America and Western Europe
Ben Slimane, Ikrame; Bellalah, Makram; Rjiba, Hatem - In: Journal of risk finance : the convergence of financial … 18 (2017) 4, pp. 398-431
Persistent link: https://www.econbiz.de/10011782717
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A quantitative investigation of the time-varying beta of the international CAPM : the case of North American and European equity portfolios
Tsuji, Chikashi - In: Journal of management research 9 (2017) 2, pp. 104-112
Persistent link: https://www.econbiz.de/10011671575
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Time-Varying Beta Estimators in the Mexican Emerging Market
Zárraga Alonso, Ainhoa; Nieto Domenech, Belén; Orbe … - Departamento de Economía Aplicada III (Econometría y … - 2011
This paper compares the performance of three different time-varying betas that have never previously been compared: the rolling OLS estimator, a nonparametric estimator and an estimator based on GARCH models. The study is conducted using returns from the Mexican stock market grouped into six...
Persistent link: https://www.econbiz.de/10009391596
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Time-varying betas of US REITs from 1972 to 2013
Sing, Tien Foo; Tsai, I-Chun; Chen, Ming-Chi - In: The journal of real estate finance and economics 52 (2016) 1, pp. 50-72
Persistent link: https://www.econbiz.de/10011591419
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Hedge Fund Excess Returns Under Time-Varying Beta
Bird, Ron; Liem, Harry; Thorp, Susan - Finance Discipline Group, Business School - 2010
of market timing skill. These conclusions are unchanged when we allow for time-varying beta, volatility clustering and …
Persistent link: https://www.econbiz.de/10008670390
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Level of efficiency in the UK equity market: empirical study of the effects of the global financial crisis
Choudhry, Taufiq; Jayasekera, Ranadeva - In: Review of Quantitative Finance and Accounting 44 (2015) 2, pp. 213-242
This paper investigates the effect of good or bad news (the asymmetric effect) on the time-varying beta of firms in the …
Persistent link: https://www.econbiz.de/10011155211
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