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Search: subject:"bivariate t-GARCH"
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European industry portfolios
3
Kalman filter
3
bivariate t-GARCH
3
efficient Monte Carlo likelihood
3
stochastic volatility
3
Markov switching
2
time-varying beta risk
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Time-varying beta risk
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Mergner, Sascha
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Bulla, Jan
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Finance
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The European Journal of Finance
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1
Time-varying beta risk of Pan-European industry portfolios: A comparison of alternative modeling techniques
Mergner, Sascha
;
Bulla, Jan
- In:
The European Journal of Finance
14
(
2008
)
8
,
pp. 771-802
employed: a
bivariate
t-GARCH
(1,1) model, two Kalman filter (KF)-based approaches, a bivariate stochastic volatility model …
Persistent link: https://www.econbiz.de/10005268705
Saved in:
2
Time-varying Beta Risk of Pan-European Sectors: A Comparison of Alternative Modeling Techniques
Mergner, Sascha
-
EconWPA
-
2005
coefficient model are employed: a
bivariate
t
-
GARCH
(1,1) model, two Kalman filter based approaches as well as a bivariate …
Persistent link: https://www.econbiz.de/10005076972
Saved in:
3
Time-varying Beta Risk of Pan-European Industry Portfolios: A Comparison of Alternative Modeling Techniques
Mergner, Sascha
;
Bulla, Jan
-
EconWPA
-
2005
are employed: a
bivariate
t-GARCH
(1,1) model, two Kalman filter based approaches, a bivariate stochastic volatility model …
Persistent link: https://www.econbiz.de/10005077020
Saved in:
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