Time‐Varying Beta Risk of Australian Industry Portfolios: A Comparison of Modelling Techniques [PDF]
, 1998 R. Brooks, R. Faff, M. Mckenzie
semanticscholar +2 more sources
An Analysis of Time Varying Beta Risk in Domestic Renewable Energy Company [PDF]
, 2013 Renewable energy industry not only has a promising future but also has more risk than conventional energy industry because of its characteristics. Therefore, in this study, an analysis of domestic renewable energy company risk has been performed.
UiJae Lee, Eunnyeong Heo
semanticscholar +2 more sources
Forecasting the weekly time-varying beta of UK firms: GARCH models vs. Kalman filter method
, 2009 Taufiq Choudhry, Hao Wu
semanticscholar +3 more sources
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
doaj +1 more source
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
doaj +1 more source
Relativistic configuration-interaction density functional theory: Nonaxial effects on nuclear $ββ$ decay [PDF]
Science Bulletin 69, 2017-2020 (2024), 2023 The relativistic configuration-interaction density functional theory is developed for even-even and odd-odd nuclei and is used to predict the nuclear matrix element of the neutrinoless $\beta\beta$ ($0\nu\beta\beta$) decay in nucleus $^{76}$Ge, amongst the most promising $\beta\beta$-decay candidates.
arxiv +1 more source
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
doaj +1 more source
Neutrinoless $ββ$-decay nuclear matrix elements from two-neutrino $ββ$-decay data [PDF]
, 2022 We study two-neutrino ($2\nu\beta\beta$) and neutrinoless double-$\beta$ ($0\nu\beta\beta$) decays in the nuclear shell model and proton-neutron quasiparticle random-phase approximation (pnQRPA) frameworks. Calculating the decay half-life of several dozens of nuclei ranging from calcium to xenon with the shell model, and of $\beta\beta$ emitters with a
arxiv +1 more source
Subshifts of finite type and matching for intermediate $β$-transformations [PDF]
, 2022 We focus on the relationships between matching and subshift of finite type for intermediate $\beta$-transformations $T_{\beta,\alpha}(x)=\beta x+\alpha $ ($\bmod$ 1), where $x\in[0,1]$ and $(\beta,\alpha) \in \Delta:= \{ (\beta, \alpha) \in \mathbb{R}^{2}:\beta \in (1, 2) \; \rm{and} \; 0 < \alpha <2 - \beta\}$.
arxiv +1 more source