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

Forecasting the weekly time-varying beta of UK firms: comparison between GARCH models vs Kalman filter method
Forecasting the weekly time-varying beta of UK firms: comparison between GARCH models vs Kalman filter method
1351-847X
Choudhry, T.
6fc3ceb8-8103-4017-b3b5-2d38efa57728
Wu, H.
bd3d9722-7733-4f80-bcfe-1e736a050d16
Choudhry, T.
6fc3ceb8-8103-4017-b3b5-2d38efa57728
Wu, H.
bd3d9722-7733-4f80-bcfe-1e736a050d16

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

Record type: Article

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Submitted date: 2009

Identifiers

Local EPrints ID: 64693
URI: https://eprints.soton.ac.uk/id/eprint/64693
ISSN: 1351-847X
PURE UUID: 60db3e60-f3e0-453d-9d9e-20d4b21ec334
ORCID for T. Choudhry: ORCID iD orcid.org/0000-0002-0463-0662

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Date deposited: 16 Jan 2009
Last modified: 24 Jul 2019 00:36

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