Chuang, I-Yuan; Lu, Jin-Ray; Chen, Ching-Fu - In: Journal of Air Transport Management 12 (2006) 2, pp. 103-105
This paper focuses on the estimation of systematic risks in a sample of airlines by using three time-varying models (i.e. the Schwert and Seguin model, the multivariate GARCH model and the Kalman filter algorithm) as well as the conventional capital asset pricing model. Using both domestic and...