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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. (eds.) Kalman Filtering. Hauppauge, US, Nova Science Publishers pp. 111-134.

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Published date: 2010
Organisations: Centre for Digital, Interactive & Data Driven Marketing

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Local EPrints ID: 207915
URI: http://eprints.soton.ac.uk/id/eprint/207915
ISBN: 978-1-61761-462-0
PURE UUID: 592ee33c-906c-4214-87a4-72a4ba55c1da

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Date deposited: 18 Jan 2012 12:47
Last modified: 18 Jul 2017 10:49

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