Time-Varying Beta And The Subprime Financial Crisis: Evidence From U.S. Industrial Sectors
, 2014 Habib Hasnaoui, Ibrahim Fatnassi
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Time-Varying Beta Risk and Its Modeling Techniques for Turkish Industry Portfolios
, 2015 Vasif Abiyev
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An Analysis of Time Varying Beta Risk in Domestic Renewable Energy Company [PDF]
, 2013 UiJae Lee, Eunnyeong Heo
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Flexible Time-Varying Betas in a Novel Mixture Innovation Factor Model with Latent Threshold
Mathematics, 2021 This paper introduces a new methodology to estimate time-varying alphas and betas in conditional factor models, which allows substantial flexibility in a time-varying framework. To circumvent problems associated with the previous approaches, we introduce
Mehmet Balcilar +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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Time‐varying β‐model for dynamic directed networks
Scandinavian Journal of Statistics, 2023 AbstractWe extend the well‐known ‐model for directed graphs to dynamic network setting, where we observe snapshots of adjacency matrices at different time points. We propose a kernel‐smoothed likelihood approach for estimating time‐varying parameters in a network with nodes, from snapshots.
Yuqing Du +3 more
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