Structural analysis of portfolio risk using beta impulse response functions

DOI10.1111/1467-9574.00088zbMATH Open0942.91047OpenAlexW2078054637MaRDI QIDQ4259388FDOQ4259388

Authors: Christian M. Hafner, Helmut Herwartz 

Publication date: 24 August 2000

Published in: Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9574.00088

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zbMATH Keywords

asymmetryCAPMimpulse response analysismultivariate GARCH-Models

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Cited In (3)

• Time varying CAPM betas and banking sector risk
• Volatility flocking by Cucker-Smale mechanism in financial markets
• Recalcitrant betas: intraday variation in the cross-sectional dispersion of systematic risk

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