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Time-varying betas in foreign exchange returns: An IPCA approach
Review of Quantitative Finance and AccountingBuilding a prediction model for foreign exchange market prices is remarkably challenging. One possible reason is that, for the purpose of identification, the beta coefficients are typically assumed to be constant over time. Following Kelly et al. (2019), we utilize the Instrumented Principal Component Analysis (IPCA), a flexible factor model, to reduce
Hsuan Fu, Shu-Fu Lee, Jui-Chung Yang
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Portfolio optimisation under changing risk via time‐varying beta
Managerial Finance, 2006PurposeThe paper is aimed at modelling time varying betas via a state space representation in order to decompose the marginal contribution to risk of downside and upside deviations of asset returns in portfolio optimisation.Design/methodology/approachThe approach enables to take into account the relationship between risk and excess returns in up‐side ...
GABBI, GIAMPAOLO, R. BRAMANTE
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Time varying CAPM betas and banking sector risk
Economics Letters, 2012Abstract This paper employs the Bai and Perron, 1998 , Bai and Perron, 2003 structural break methodology to investigate whether the CAPM betas for banking sector stocks are time invariant. I find evidence for three large structural shifts in my monthly (1941.02–2008.01) sample.
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Time-Varying Beta: Autocorrelation and Autoregressive Time Series
2016“[T]ime is the longest distance between two places.”1 This book has focused thus far on bifurcating beta in financial space—that is, on either side of mean rates of return or some other target. It has analyzed beta in recognition of two distinct but related departures from the conventions of modern portfolio theory, the capital asset pricing model ...
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Time-Varying Beta Estimation in CAPM Under the Regime-Switching Model
2017The objectives of this study are to analyze the risk of investment and to examine the structural change in the CAPM. To there ends, the Markov Switching dynamic regression is employed to construct the time varying beta risk when the market exhibits structural change. The model is applied to the Thai stock return data.
Roengchai Tansuchat +3 more
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TIME-VARYING BETA OF THE PARTICIPATION 30 INDEX
2019Islamicstock indices are consisting of stocks that are subject to various filteringcriteria related to the field of activity and indebtedness of stocks traded onconventional stock markets. The Participation 30 index (KATLM) consists of 30stocks that are determined to meet the filtering criteria among the stockstraded on Borsa Istanbul.
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Time-Varying Currency Betas : Evidence from Developed and Emerging Markets [PDF]
, 2009 This paper examines the conditional time-varying currency betas from five developed markets and four emerging markets. A trivariate BEKK-GARCH-in-mean model is used to estimate the timevarying conditional variance and covariance of returns of stock index, the world market portfolio and changes in bilateral exchange rate between the US dollar and the ...
Prabhath Jayasinghe, Albert K. Tsui
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Maximum likelihood estimation of a CAPM with time-varying beta
2002It is investigated the likelihood inference for the time-varying parameter version of the popular Capital Asset Pricing Model when the error is a mixture of two normal distributions. The estimation of the parameters is carried out through an approximation of the likelihood based on a quadrature method.
DE LUCA, GIOVANNI, BARTOLUCCI F.
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Time varying CAPM betas on Zagreb Stock Exchange
2015This paper employs a CCC GARCH(1, 1) model in order to identify the volatility dynamics of stock market and sector indices on Zagreb Stock Exchange. Time varying CAPM betas are estimated in order to test whether portfolio formation based on the results can enhance portfolio performance.
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