Estimating systematic risk using time varying distributions

European Financial Management

Volumn 8, Issue 1, 2002, Pages 59-73

  Koutmos, Gregory ^a   Knif, Johan ^b  

^a FAIRFIELD UNIVERSITY   (United States)

^b HANKEN SCHOOL OF ECONOMICS   (Finland)

Author keywords

Asymmetric covariance; Dynamic betas; Mean reversion in betas; Time varying distributions; Vector GARCH

Indexed keywords

EID: 33845598448     PISSN: 13547798     EISSN: 1468036X     Source Type: Journal    
DOI: 10.1111/1468-036X.00176     Document Type: Article

References (0)