Modeling time-varying conditional betas : a comparison of methods with application for REITs
Year of publication: |
2021
|
---|---|
Authors: | Aloy, Marcel ; Laly, Floris ; Laurent, Sébastien ; Lecourt, Christelle |
Published in: |
Recent econometric techniques for macroeconomic and financial data. - Cham, Switzerland : Springer, ISBN 978-3-030-54251-1. - 2021, p. 229-264
|
Subject: | Autoregressive conditional beta | Dynamic conditional beta | Multivariate GARCH | Real estate | REITs | State space | Immobilienfonds | Real estate fund | Betafaktor | Beta risk | CAPM | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Risikoprämie | Risk premium | Zustandsraummodell | State space model |
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