Results 261 to 270 of about 1,223,971 (333)

Time-Varying Beta of Scandinavian Industries: The Crisis Experience

, 2010
Valeriya Kirdyaeva, Yuliya Prysyazhnyuk
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A Bayesian Semi-Mechanistic Framework for Modelling Antimicrobial Resistance

Srimokla O, Cavany S, Petrie J, Pritchard M, Nebykova A, Aguilar G, Dolecek C, Cooper B.   +7 more
europepmc   +1 more source

TIME-VARYING COUNTRY BETA APPROACH IN MODELLING COUNTRY RISK OF TURKEY

, 2015
Ahmet Kerem Özdemir, Mehmet Emin Yıldız, Emir Otluoğlu   +2 more
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Time-Varying Beta and the Value Premium

Journal of Financial and Quantitative Analysis, 2017
We model conditional market beta and alpha as flexible functions of state variables identified via a formal variable-selection procedure. In the post-1963 sample, the beta of the value premium comoves strongly with unemployment, inflation, and the price–earnings ratio in a countercyclical manner. We also uncover a novel nonlinear dependence of alpha on
Hui Guo, Chaojiang Wu, Yan Yu
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The pricing of time-varying beta

Empirical Economics, 1997
We generalize an asset pricing model based on the Arbitrage Pricing Theory (APT) allowing beta to be time-varying. Making beta a random variable adds flexibility to the model because permits a non-linear relation between individual returns and the set of factors, and accounts for the effect of possible omitted variables.
Gloria González-Rivera
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September 11 and Time-Varying Beta of United States Companies

SSRN Electronic Journal, 2003
The tragic events of September 11, 2001 in the United States is said to have adversely affected the global economy and the financial markets around the world. This paper empirically investigates the effects of the terrorist attacks and the period after on the time-varying beta (risk) of a few companies in the United States. Daily data from 1991 to 2002
Taufiq Choudhry
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Constant versus Time‐Varying Beta Models: Further Forecast Evaluation

Journal of Forecasting, 2011
ABSTRACTRecent advances in the measurement of beta (systematic return risk) and volatility (total return risk) demonstrate substantial advantages in utilizing high‐frequency return data in a variety of settings. These advances in the measurement of beta and volatility have resulted in improvements in the evaluation of alternative beta and volatility ...
Jonathan J. Reeves, Haifeng Wu
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Time-Varying Beta—The Case Study of the Largest Companies from the Polish, Czech, and Hungarian Stock Exchange

, 2020
The main goal of this article is to investigate empirically the Kalman approach to estimate the time-varying beta parameter as a systematic investment risk market in Poland, Czech Republic, and Hungary.
W. Dębski, Ewa Feder-Sempach, Piotr Szczepocki   +2 more
semanticscholar   +1 more source

Time-varying estimates of CAPM betas

Mathematics and Computers in Simulation, 1999
Abstract It is well known that the CAPM beta is not stable over time. We investigate the nature of the time-variation in betas using monthly Australian data from 1979 to 1994 for 23 sectors. We discuss beta estimates for sub-periods and tests of the statistical adequacy of the market model used to estimate the betas.
Nicolaas Groenewold, Patricia Fraser
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