Time-varying risk The case of Taiwan telecommunications industry
碩士 === 國立中正大學 === 財務金融所 === 93 === This paper develops alternative time-variant systematic risk estimation techniques, including bivariate GARCH system and Kalman filter approach for both individual stocks and the market portfolio to model return volatility and estimate beta of the Capital Asset Pri...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Online Access: | http://ndltd.ncl.edu.tw/handle/02226345493939641725 |