Zárraga Alonso, Ainhoa; Nieto Domenech, Belén; Orbe … - Departamento de Economía Aplicada III (Econometría y … - 2011
This paper compares the performance of three different time-varying betas that have never previously been compared: the rolling OLS estimator, a nonparametric estimator and an estimator based on GARCH models. The study is conducted using returns from the Mexican stock market grouped into six...