Forecasting the daily time - varying beta of European Banks during the crisis period: comparison between GARCH models and the Kalman Filter.
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Forecasting"
DOI: 10.1002/for.2442
Abstract: This intention of this paper is to empirically forecast the daily betas of a few European banks by means of four generalized autoregressive conditional heteroscedasticity (GARCH) models and the Kalman filter method during the pre-global… read more here.
Keywords: crisis; kalman filter; garch; crisis period ... See more keywords
Building multi-scale portfolios and efficient market frontiers using fractal regressions
Sign Up to like & getrecommendations! Published in 2019 at "Physica A: Statistical Mechanics and its Applications"
DOI: 10.1016/j.physa.2019.121758
Abstract: Abstract The risk-return relationship remains a hot research topic, since it continues to have some non-explored issues. For example, despite the existence of several limitations, the Capital Asset Pricing Model (CAPM) continues to be used… read more here.
Keywords: fractal regressions; multi scale; crisis period; crisis ... See more keywords