Time-varying beta risk of Australian industry portfolios: A comparison of modelling techniques

Brooks, Robert D.; Faff, Robert W.; McKenzie, Michael D.
June 1998
Australian Journal of Management (University of New South Wales);Jun98, Vol. 23 Issue 1, p1
Academic Journal
Investigates three techniques for the estimation of conditional time-dependent betas. Application of the approaches to a sample of returns on Australian industry portfolios over the period of 1974-1996.


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