Generalized Autoregressive Conditional Betas: Longitudinal Feedback in Multifactor Asset Pricing

DOI10.1080/07350015.2025.2478984MaRDI QIDQ7229809zbMATH OpenFDO

Authors Stefano Grassi, Francesco Saverio Violante

Publication date 17 April 2026

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2025.2478984

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

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• Quasi score-driven models
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Robust M-estimation of multivariate GARCH models
• Stationarity and geometric ergodicity of BEKK multivariate GARCH models
• The Model Confidence Set
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients

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