Time-varying beta risk of australian industry portfolios: A comparison of modelling techniques

Australian Journal of Management

Volumn 23, Issue 1, 1998, Pages 1-22

  Brooks, Robert D ^a   Faff, Robert W ^a   McKenzie, Michael D ^a  

^a RMIT UNIVERSITY   (Australia)

Author keywords

Garch; Kalman filter; Time varying beta

Indexed keywords

EID: 0001793520     PISSN: 03128962     EISSN: 13272020     Source Type: Journal    
DOI: 10.1177/031289629802300101     Document Type: Article

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