Forecasting the US daily time-varying beta: comparison between Garch models and Kalman filter method
Choudhry, Taufiq and Hao, Wu (2010) Forecasting the US daily time-varying beta: comparison between Garch models and Kalman filter method. In, Gomez, Joaquin M. (ed.) Kalman Filtering. Hauppauge, US, Nova Science Publishers, 111-134.
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| Item Type: | Book Section |
|---|---|
| ISBNs: | 9781617614620 (hardback) |
| Related URLs: | |
| Subjects: | H Social Sciences > HG Finance |
| Divisions: | University Structure - Pre August 2011 > School of Management Faculty of Business and Law > Southampton Management School > Finance |
| Item ID: | 207915 |
| Date Deposited: | 18 Jan 2012 12:47 |
| Last Modified: | 18 Jan 2012 12:47 |
| Contributors: | Choudhry, Taufiq (Author) Hao, Wu (Author) Gomez, Joaquin M. (Editor) |
| Date: | 2010 |
| Status: | Published |
| Publisher: | Nova Science Publishers |
| URI: | http://eprints.soton.ac.uk/id/eprint/207915 |
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