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Forecasting the US daily time-varying beta: comparison between Garch models and Kalman filter method

Forecasting the US daily time-varying beta: comparison between Garch models and Kalman filter method
Forecasting the US daily time-varying beta: comparison between Garch models and Kalman filter method
978-1-61761-462-0
111-134
Nova Science Publishers
Choudhry, Taufiq
6fc3ceb8-8103-4017-b3b5-2d38efa57728
Hao, Wu
a580a50d-d0a4-40f2-9dc9-b9034be8b070
Gomez, Joaquin M.
Choudhry, Taufiq
6fc3ceb8-8103-4017-b3b5-2d38efa57728
Hao, Wu
a580a50d-d0a4-40f2-9dc9-b9034be8b070
Gomez, Joaquin M.

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, pp. 111-134.

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More information

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

Identifiers

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
ORCID for Taufiq Choudhry: ORCID iD orcid.org/0000-0002-0463-0662

Catalogue record

Date deposited: 18 Jan 2012 12:47
Last modified: 11 Dec 2021 03:36

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Contributors

Author: Taufiq Choudhry ORCID iD
Author: Wu Hao
Editor: Joaquin M. Gomez

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