Factor Models of Stock Returns: GARCH Errors versus Time‐Varying Betas

DOI10.1002/for.2387zbMath1376.62064OpenAlexW105056891MaRDI QIDQ4596050

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

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

stock marketout-of-sample performancehomoscedastic errorssingle-factor modelautogressive betasin-sample performance

Mathematics Subject Classification ID

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

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