Timeâ€Varying Beta Risk of Australian Industry Portfolios: A Comparison of Modelling Techniques
Year of publication: |
1998
|
---|---|
Authors: | Brooks, Robert D. ; Faff, Robert W. ; McKenzie, Michael D. |
Published in: |
Australian Journal of Management. - Australian School of Business. - Vol. 23.1998, 1, p. 1-22
|
Publisher: |
Australian School of Business |
Subject: | TIMEâ€VARYING BETA | GARCH | KALMAN FILTER |
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