The use of domestic and world market indexes in the estimation of time-varying betas

Journal of Multinational Financial Management

Volumn 10, Issue 1, 2000, Pages 91-106

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

^a RMIT UNIVERSITY   (Australia)

Author keywords

Kalman filter; Market index; Time varying beta

Indexed keywords

EID: 0033638213     PISSN: 1042444X     EISSN: None     Source Type: Journal    
DOI: 10.1016/s1042-444x(99)00021-3     Document Type: Article

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