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Time-varying betas of sectoral returns to market returns and exchange rate movements
Karlsson, Hyunjoo Kim; Hacker, Scott - In: Applied financial economics 23 (2013) 13/15, pp. 1155-1168
Persistent link: https://www.econbiz.de/10010204788
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Time-varying industry beta in Indian stock market and forecasting errors
Das, Sudipta; Barai, Parama - In: International journal of emerging markets 10 (2015) 3, pp. 521-534
Persistent link: https://www.econbiz.de/10011489295
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Improved beta modeling and forecasting : an unobserved component approach with conditional heteroscedastic disturbances
Ortas, E.; Salvador, Manuel; Moneva, J. M. - In: The North American journal of economics and finance : a … 31 (2015), pp. 27-51
Persistent link: https://www.econbiz.de/10011511029
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Multivariate time-varying parameter modelling for stock markets
Neslihanoglu, Serdar; Bekiros, Stelios; McColl, John H.; … - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 947-972
Persistent link: https://www.econbiz.de/10012616913
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Attribution of hedge fund returns using a Kalman filter
Thomson, Daniel; Van Vuuren, Gary - In: Applied economics 50 (2018) 9, pp. 1043-1058
Persistent link: https://www.econbiz.de/10011848239
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Beta through the prism of wavelets
Shah, Aasif; Tali, Arif; Farooq, Qaiser - In: Financial innovation : FIN 4 (2018) 18, pp. 1-17
market, we report that the conventional beta coefficients estimated from CAPM are essentially an average of wavelet betas but …
Persistent link: https://www.econbiz.de/10011921932
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The beta heuristic from a time/frequency perspective : a wavelet analysis of the market risk of sectors
McNevin, Bruce D.; Nix, Joan - In: Economic modelling 68 (2018), pp. 570-585
Persistent link: https://www.econbiz.de/10011936138
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Time-frequency analysis of CAPM : application to the CAC 40
Mestre, Roman; Terraza, Michel - In: Managing global transitions : international research journal 16 (2018) 2, pp. 141-157
Persistent link: https://www.econbiz.de/10012137071
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Goodness-of-fit versus significance : a CAPM selection with dynamic betas applied to the Brazilian stock market
de Pinho Ronzani, André Ricardo; Candido, Osvaldo; … - In: International Journal of Financial Studies : open … 5 (2017) 4, pp. 1-21
In this work, a Capital Asset Pricing Model (CAPM) with time-varying betas is considered. These betas evolve over time …-at-Risk) measures are calculated. We can conclude that CAPM with time-varying betas provide less conservative VaR measures than those … based on CAPM with static betas or historical VaR. …
Persistent link: https://www.econbiz.de/10011760331
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The perils of performance measurement in the German mutual-fund industry
Böhme, Philip; Pohl, Walter; Schmedders, Karl - 2013
We document a curious feature of the German mutual fund industry. Unlike U.S. mutual funds, funds domiciled in Germany do not necessarily compute their net asset values (NAV) as of market close. Using a sample of German equity funds, we infer each fund's NAV closing time from the best-fit market...
Persistent link: https://www.econbiz.de/10009751161