He, Zhongzhi; Kryzanowski, Lawrence - In: International Review of Financial Analysis 17 (2008) 5, pp. 1110-1122
The dynamic betas for ten Canadian sector portfolios using the Kalman filter approach are estimated herein and are found to be best described by a mix of the random walk (trend) and mean-reverting (cycle) processes. The relative importance of the trend and cycle components of sector betas is...