Brooks, R. D.; Faff, R. W.; McKenzie, M. - In: The European Journal of Finance 8 (2002) 3, pp. 249-274
Three different techniques for the estimation of a time-varying beta are investigated: a bivariate GARCH model, the Schwert and Seguin approach, and the Kalman filter method. These approaches are applied to a set of monthly Morgan Stanley country index data over the period 1970 to 1995 and their...