Forecasting the Daily Time‐Varying Beta of European Banks During the Crisis Period: Comparison Between GARCH Models and the Kalman Filter (Q4687653)
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scientific article; zbMATH DE number 6952643
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Forecasting the Daily Time‐Varying Beta of European Banks During the Crisis Period: Comparison Between GARCH Models and the Kalman Filter |
scientific article; zbMATH DE number 6952643 |
Statements
Forecasting the Daily Time‐Varying Beta of European Banks During the Crisis Period: Comparison Between GARCH Models and the Kalman Filter (English)
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12 October 2018
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volatility
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autoregressive conditional heteroscedasticity models
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daily stock prices
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rolling forecasting method
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model confidence sets
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