Forecasting the weekly time-varying beta of UK firms: comparison between GARCH models vs Kalman filter method


Choudhry, T. and Wu, H. (2009) Forecasting the weekly time-varying beta of UK firms: comparison between GARCH models vs Kalman filter method. The European Journal of Finance (Submitted).

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Item Type: Article
ISSNs: 1351-847X (print)
Related URLs:
Subjects: H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
H Social Sciences > HJ Public Finance
Divisions: University Structure - Pre August 2011 > School of Management
ePrint ID: 64693
Date Deposited: 16 Jan 2009
Last Modified: 27 Mar 2014 18:46
URI: http://eprints.soton.ac.uk/id/eprint/64693

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