Forecasting the weekly time-varying beta of UK firms: GARCH models vs. Kalman filter method

European Journal of Finance

Volumn 15, Issue 4, 2009, Pages 437-444

  Choudhry, Taufiq ^a   Wu, Hao ^a  

^a UNIVERSITY OF SOUTHAMPTON   (United Kingdom)

Author keywords

Forecasting; GARCH; Kalman filter; Volatility

Indexed keywords

EID: 67650941725     PISSN: 1351847X     EISSN: 14664364     Source Type: Journal    
DOI: 10.1080/13518470802604499     Document Type: Article

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