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Autoregressive conditional betas - MaRDI portal

Autoregressive conditional betas (Q6193071)

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scientific article; zbMATH DE number 7803968
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English
Autoregressive conditional betas
scientific article; zbMATH DE number 7803968

    Statements

    title
    Autoregressive conditional betas (English)
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    author
    Francisco Blasques
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    Christian Francq
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    Sébastien Laurent
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    publication date
    13 February 2024
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    zbMATH Keywords
    score driven model
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    time-varying parameters
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    GARCH model
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    betas
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    cites work
    Q4082864
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    GARCH Models
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    Q4840212
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    Identifiers

    zbMATH DE Number
    7803968
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