Time-varying Beta Risk of Pan-European Industry Portfolios: A Comparison of Alternative Modeling Techniques
Year of publication: |
2005-10-26
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Authors: | Mergner, Sascha ; Bulla, Jan |
Institutions: | EconWPA |
Subject: | Markov switching | Kalman filter | stochastic volatility | efficient Monte Carlo likelihood | bivariate t-GARCH | European industry portfolios | time-varying beta risk |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Type of Document - pdf; pages: 44. Extension of an earlier paper by the first author ('Time-varying beta risk of pan-European sectors') that adds two Markov switching models to the analysis. 44 pages |
Classification: | C22 - Time-Series Models ; C32 - Time-Series Models ; G10 - General Financial Markets. General ; G12 - Asset Pricing ; G15 - International Financial Markets |
Source: |
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Time-varying Beta Risk of Pan-European Sectors: A Comparison of Alternative Modeling Techniques
Mergner, Sascha, (2005)
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Mergner, Sascha, (2008)
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Markov-switching Asset Allocation: Do Profitable Strategies Exist?
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