Autoregressive conditional betas

Cites Work

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The Model Confidence Set
Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
Feasible invertibility conditions and maximum likelihood estimation for observation-driven models
Asymptotics of Cholesky GARCH models and time-varying conditional betas
Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
High-frequency factor models and regressions
Quasi score-driven models
ON MOMENT CONDITIONS FOR QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF MULTIVARIATE ARCH MODELS
Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model
Kalman Filtering with Random Coefficients and Contractions
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Testing for the Constancy of Parameters Over Time
On Bayesian Modeling of Fat Tails and Skewness
Estimating and Testing Linear Models with Multiple Structural Changes
Amendments and Corrections
Factor Models of Stock Returns: GARCH Errors versus Time‐Varying Betas
Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach
Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk
GARCH Models
Information-theoretic optimality of observation-driven time series models for continuous responses
Time‐Varying Transition Probabilities for Markov Regime Switching Models
Common risk factors in the returns on stocks and bonds
Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics

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