Autoregressive conditional betas (Q6193071)

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scientific article; zbMATH DE number 7803968

Language	Label	Description	Also known as
English	Autoregressive conditional betas	scientific article; zbMATH DE number 7803968

Statements

scholarly article

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Autoregressive conditional betas (English)

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Francisco Blasques

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Christian Francq

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Sébastien Laurent

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Journal of Econometrics

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publication date

13 February 2024

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zbMATH Keywords

score driven model

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time-varying parameters

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GARCH model

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betas

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MaRDI profile type

MaRDI publication profile

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High-frequency factor models and regressions

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Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk

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Tests for Parameter Instability and Structural Change With Unknown Change Point

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ON MOMENT CONDITIONS FOR QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF MULTIVARIATE ARCH MODELS

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Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach

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Estimating and Testing Linear Models with Multiple Structural Changes

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Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics

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Time‐Varying Transition Probabilities for Markov Regime Switching Models

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Quasi score-driven models

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Feasible invertibility conditions and maximum likelihood estimation for observation-driven models

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Information-theoretic optimality of observation-driven time series models for continuous responses

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Amendments and Corrections

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Positive semidefinite integrated covariance estimation, factorizations and asynchronicity

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Kalman Filtering with Random Coefficients and Contractions

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Asymptotics of Cholesky GARCH models and time-varying conditional betas

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Common risk factors in the returns on stocks and bonds

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On Bayesian Modeling of Fat Tails and Skewness

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Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes

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Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets

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The Model Confidence Set

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Factor Models of Stock Returns: GARCH Errors versus Time‐Varying Betas

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Testing for the Constancy of Parameters Over Time

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Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach

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Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model

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Identifiers

Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.JECONOM.2023.105630

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Sitelinks

Mathematics(1 entry)

mardi Publication:6193071

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