Lu, Jin-Ray; Lee, Pei-Hsuan; Chuang, I-Yuan - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 11, pp. 2389-2399
This paper examines the performance of alternative models in estimating systematic risk in the oil industry, considering the traditional market model, three time-varying models, and some combination methods of individual models. This study uses the world's top 10 oil firms’ data series to find...