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Timeâ€Varying Beta Risk of Australian Industry Portfolios: A Comparison of Modelling Techniques

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...

Persistent link: https://www.econbiz.de/10011135755

A multi-country study of power ARCH models and national stock market returns

Brooks, Robert D.; Faff, Robert W.; McKenzie, Michael D.; … - In: Journal of International Money and Finance 19 (2000) 3, pp. 377-397

Persistent link: https://www.econbiz.de/10005339114

The impact of exchange rate volatility on German-US trade flows

McKenzie, Michael D.; Brooks, Robert D. - In: Journal of International Financial Markets, … 7 (1997) 1, pp. 73-87

Persistent link: https://www.econbiz.de/10005403435

Exploring the economic rationale of extremes in GARCH generated betas The case of U.S. banks

McKenzie, Michael D.; Brooks, Robert D.; Faff, Robert W.; … - In: The Quarterly Review of Economics and Finance 40 (2000) 1, pp. 85-106

Persistent link: https://www.econbiz.de/10005388421

Papers - 1 - Time-Varying Beta Risk of Australian Industry Portfolios: A Comparison of Modelling Techniques

Brooks, Robert D.; Faff, Robert W.; McKenzie, Michael D. - In: Australian journal of management 23 (1998) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10006991865

A multi-country study of power ARCH models and national stock market returns

Brooks, Robert D.; Faff, Robert W.; Mckenzie, Michael D.; … - In: Journal of international money and finance 19 (2000) 3, pp. 377-398

Persistent link: https://www.econbiz.de/10006907842

U.S. Banking Sector Risk in an Era of Regulatory Change: A Bivariate GARCH Approach

Brooks, Robert D.; Faff, Robert W.; Mckenzie, Michael D.; … - In: Review of quantitative finance and accounting 14 (2000) 1, pp. 17-44

Persistent link: https://www.econbiz.de/10007182203

The use of domestic and world market indexes in the estimation of time-varying betas

Mckenzie, Michael D.; Brooks, Robert D.; Faff, Robert W. - In: Journal of multinational financial management 10 (2000) 1, pp. 91

Persistent link: https://www.econbiz.de/10007119879