Dynamic conditional beta
Year of publication: |
2016
|
---|---|
Authors: | Engle, Robert F. |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 14.2016, 4, p. 643-667
|
Subject: | DCC | GARCH | multivariate GARCH | multi-factor asset pricing | non-nested tests | SRISK | systemic risk | time varying parameters | ARCH-Modell | ARCH model | CAPM | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Börsenkurs | Share price | Betafaktor | Beta risk | Kapitaleinkommen | Capital income | Schätzung | Estimation | Risikoprämie | Risk premium |
-
Asset pricing using block-cholesky GARCH and time-varying betas
Grassi, Stefano, (2021)
-
Asset pricing using Block-Cholesky GARCH and time-varying betas
Grassi, Stefano, (2021)
-
Asset pricing using Block-Cholesky GARCH and time-varying betas
Grassi, Stefano, (2021)
- More ...
-
Volatility and time series econometrics : essays in honor of Robert Engle
Bollerslev, Tim, (2010)
-
The Nobel memorial prize for Robert Engle
Diebold, Francis X., (2004)
-
Hassler, Uwe, (2003)
- More ...