Results 11 to 20 of about 18,915,989 (297)
THE LONG MEMORY BEHAVIOR IN TIME-VARYING BETA: AN EMPIRICAL APPLICATION ON BIST
SDÜ Vizyoner Dergisi, 2020 The study aims to investigate the long memory behavior in time-varying beta, a systematic risk indicator, in İstanbul Stock Exchange (BIST) sub-indices. Using the data regarding BIST national indices, sub-indices and twoyear benchmark bond interest rate ...
Çelik, İsmail, Keskin, Hüseyin
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Estimating Time-Varying Beta of Price Limits and Its Applications in China Stock Market [PDF]
Journal of Applied Mathematics, 2013 This paper proposes an estimation method of time-varying beta of price limits. It uses China stock market trading data to estimate time-varying beta and researches on systemic risk in China stock market. By comparing prediction errors of market model, SS
Menggang Li, Rongquan Bai, Zuoquan Zhang
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Clustering Companies Listed on the Warsaw Stock Exchange According to Time-Varying Beta [PDF]
Ekonometria, 2019 The beta parameter is a popular tool for the evaluation of portfolio performance. The Sharpe single-index model is a simple regression model in which the stock's returns are regressed against the returns of a broader index.
Piotr Szczepocki
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Time-Varying Beta in Functional Factor Models: Evidence from China
SSRN Electronic Journal, 2019 Abstract In this paper, we introduce a functional method to investigate how betas change over time in factor models. Based on the China A-share data, we drop the constant beta assumption in the CAPM and multi-factor models to estimate the time-varying betas directly from the functional data regression. The empirical results show that exposures to all
Horváth, Lajos +3 more
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The time-varying risk price of currency portfolios [PDF]
, 2022 This paper formally implements time-varying risk price models for currency returns. Focusing upon time variation in risk prices, the paper explores four currency risk factors.
Byrne, Joseph P. +2 more
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Dynamics of time-varying currency beta on Indian industries: A Markov switching approach
IIMB Management Review, 2023 We examine the dynamics of time-varying currency beta across Indian industries. Through the Markov regime switching model we try to check whether currency beta is also regime-dependent, similar to other financial variables.
Soumya Saha +2 more
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Online Portfolio Optimization with Risk Control
Trends in Computational and Applied Mathematics, 2021 Portfolio selection is undoubtedly one of the most challenging topics in the area of finance. Since Markowitz's initial contribution in 1952, portfolio allocation strategies have been intensely discussed in the literature. With the development of online
João Daniel Madureira Yamim +2 more
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The intertemporal relationship between risk and return with dynamic conditional correlation and time -varying beta [PDF]
تحقیقات مالی, 2015 The current paper examines intertemporal capital asset pricing model in Iran’s Stock Market. Dynamic conditional correlation was used to estimate conditional variance and covariance portfolios with market returns. Time varying beta is estimated by Kalman
Hojjatollah Bagherzadeh +1 more
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Mathematics, 2021 This study aims to apply value at risk (VaR) and expected shortfall (ES) as time-varying systematic and idiosyncratic risk factors to address the downside risk anomaly of various asset pricing models currently existing in the Pakistan stock exchange. The
Adeel Nasir +4 more
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A Transmission of Beta Herding during Subprime Crisis in Taiwan’s Market: DCC-MIDAS Approach
International Journal of Financial Studies, 2021 The aim of this study is to investigate the herding of beta transmission between return and volatility. We have used the dynamic conditional correlation model with the mixed-data sampling (DCC-MIDAS) model for the analysis. The evidence demonstrates that
Yi-Chang Chen +3 more
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