D'Souza, Rudolph E; Brooks, LeRoy D; Oberhelman, H Dennis - In: The Financial Review 24 (1989) 2, pp. 299-317
A beta regression model is proposed where the coefficients follow a general class of stationary stochastic processes. The procedure identifies the process and estimates the parameters of the model simultaneously from the information contained in the return series. The returns of each of the Dow...