Mergner, Sascha; Bulla, Jan - In: The European Journal of Finance 14 (2008) 8, pp. 771-802
This paper investigates the time-varying behavior of systematic risk for 18 pan-European sectors. Using weekly data over the period 1987-2005, six different modeling techniques in addition to the standard constant coefficient model are employed: a bivariate t-GARCH(1,1) model, two Kalman filter...