Brooks, Robert D.; Faff, Robert W.; McKenzie, Michael D. - In: Australian Journal of Management 23 (1998) 1, pp. 1-22
This paper investigates three techniques for the estimation of conditional timeâ€dependent betas: (a) a multivariate generalised ARCH approach; (b) a timeâ€varying beta market model approach suggested by Schwert and Seguin (1990); and (c) the Kalman filter technique. These approaches are...