Forecasting the Daily Time‐Varying Beta of European Banks During the Crisis Period: Comparison Between GARCH Models and the Kalman Filter

DOI10.1002/for.2442zbMath1397.62581OpenAlexW2522529230MaRDI QIDQ4687653

Taufiq Choudhry, Yuanyuan Zhang

Publication date: 12 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://eprints.soton.ac.uk/404813/1/__soton.ac.uk_UDE_PersonalFiles_Users_sb1u11_mydocuments_Academic%2520Papers%2520EPrints%2520%2526%2520REF_SBS%2520Papers%2520in%2520ePrints_JF-revisedv2.doc

zbMATH Keywords

volatilityautoregressive conditional heteroscedasticity modelsdaily stock pricesmodel confidence setsrolling forecasting method

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Paired and multiple comparisons; multiple testing (62J15)

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