Time-varying beta risk of Pan-European industry portfolios: A comparison of alternative modeling techniques

European Journal of Finance

Volumn 14, Issue 8, 2008, Pages 771-802

  Mergner, Sascha ^a   Bulla, Jan ^b  

^a UNIVERSITY OF GÖTTINGEN   (Germany)

^b VICTORIA UNIVERSITY OF WELLINGTON   (New Zealand)

Author keywords

Bivariate t GARCH; Efficient Monte Carlo likelihood; European industry portfolios; Kalman filter; Markov switching; Stochastic volatility; Time varying beta risk

Indexed keywords

EID: 56049119843     PISSN: 1351847X     EISSN: 14664364     Source Type: Journal    
DOI: 10.1080/13518470802173396     Document Type: Article

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