Autoregressive conditional betas

DOI10.1016/J.JECONOM.2023.105630MaRDI QIDQ6193071zbMATH OpenFDO

Authors Francisco Blasques, C. Francq, Sébastien Laurent

Publication date 13 February 2024

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JECONOM.2023.105630

zbMATH Keywords

betasGARCH modelscore driven modeltime-varying parameters

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

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Cited in

(4)

• An order-invariant score-driven dynamic factor model
• Generalized autoregressive conditional betas: a new multivariate score-driven filter
• Generalized Autoregressive Conditional Betas: Longitudinal Feedback in Multifactor Asset Pricing
• Consistency, distributional convergence, and optimality of time-varying parameters in score-driven models

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