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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Item Type: Book Section
ISBNs: 9781617614620 (print)
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Organisations: Centre for Digital, Interactive & Data Driven Marketing
ePrint ID: 207915
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2010Published
Date Deposited: 18 Jan 2012 12:47
Last Modified: 18 Apr 2017 00:35
Further Information:Google Scholar
URI: http://eprints.soton.ac.uk/id/eprint/207915

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