Oil price volatility and the dynamic systematic risk in Kuwait's equity sector portfolio using the Kalman filter approach
Year of publication: |
2013
|
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Authors: | Alsarhan, Abdulwahab A. ; Khalifa, Ahmed A. A. ; Al-Titi, Omar |
Published in: |
American journal of finance and accounting. - Genève : Inderscience Enterprises Ltd., ISSN 1752-7767, ZDB-ID 2449731-9. - Vol. 3.2013/14, 1, p. 24-40
|
Subject: | oil price volatility | systematic risk | financial crises | Kalman filter | Kuwaiti sectors | Ölpreis | Oil price | Volatilität | Volatility | Kuwait | Zustandsraummodell | State space model | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Welt | World | Risiko | Risk | CAPM |
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