A strategy for estimating, ?filtering and forecasting time-varying factor betas is proposed. The approach is based on the multivariate realized regression principle, an omnibus noise ?filter and an adaptive long memory forecasting model. While the multivariate realized regression approach allows...

A new approach to mean-variance efficient portfolio selection is introduced. The method is based on realized regression theory and the regression based portfolio selection approach of Britten-Jones (1999), yielding a conditional version of the Britten-Jones (1999) method. Application to euro...

What explains the cross section of expected returns for the 25 size/value Fama-French portfolios? It is found that modelling time-varying betas is important to explain the cross-section of expected returns, as well as to comply with the time series restriction on Jensen-alpha. Support for a...