Factor models of stock returns: GARCH errors versus time-varying betas

DOI10.1002/FOR.2387MaRDI QIDQ4596050zbMATH OpenOpenAlexFDO

Authors Phoebe Koundouri, Nikolaos C. Kourogenis, Nikitas Pittis, Panagiotis Samartzis

Publication date 8 December 2017

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

Full work available at URL http://eprints.lse.ac.uk/65548/1/__lse.ac.uk_storage_LIBRARY_Secondary_libfile_shared_repository_Content_Grantham%20Institute_Factor%20models%20of%20stock%20returns_Koundouri_Factor%20models%20of%20stock%20returns_2016.pdf

zbMATH Keywords

autogressive betashomoscedastic errorsin-sample performanceout-of-sample performancesingle-factor modelstock market

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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(7)

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• Time varying CAPM betas and banking sector risk
• Evaluating factor pricing models using high-frequency panels
• Autoregressive conditional betas

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