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)
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Subjects: H Social Sciences > HG Finance
Divisions: University Structure - Pre August 2011 > School of Management
Faculty of Business and Law > Southampton Management School > Finance
ePrint ID: 207915
Date Deposited: 18 Jan 2012 12:47
Last Modified: 27 Mar 2014 19:49
URI: http://eprints.soton.ac.uk/id/eprint/207915

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