Palmer, Tusell; Jorge, Fernando; González, Esteban; … - Departamento de Economía Aplicada III (Econometría y … - 2009
Betas play a central role in modern finance. The estimation of betas from historical data and their extrapolation into the future is of considerable practical interest. We propose two new methods: the first is a direct generalization of the method in Blume (1975), and the second is based on...