Multivariate time-varying parameter modelling for stock markets
Serdar Neslihanoglu, Stelios Bekiros, John McColl, Duncan Lee
| Year of publication: |
2021
|
|---|---|
| Authors: | Neslihanoglu, Serdar ; Bekiros, Stelios ; McColl, John H. ; Lee, Duncan |
| Subject: | CAPM | Multivariate model | State space model | Stock market returns | Systematic covariance (beta) risk | Time-varying beta | Zustandsraummodell | Betafaktor | Beta risk | Aktienmarkt | Stock market | Kapitaleinkommen | Capital income | Schätzung | Estimation | Multivariate Analyse | Multivariate analysis | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Korrelation | Correlation | Börsenkurs | Share price | Risiko | Risk |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00181-020-01896-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012616913