search query: @author Hillier, D. / total: 7
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| Author: | Faff, R.W. Hillier, D. Hillier, J. |
| Title: | Time varying beta risk: an analysis of alternative modelling techniques |
| Journal: | Journal of Business Finance and Accounting
2000 : JUN/JUL, VOL. 27:5&6, p. 523-554 |
| Index terms: | Beta factor Models Return on investment Risk analysis |
| Freeterms: | M-GARCH |
| Language: | eng |
| Abstract: | In recent years, the general assumption of a stationary risk factor, fundamental to security return models such as CAPM and the market model, has come under increasing scrutiny and there now exists substantial evidence that systematic risk is unstable. This paper examines the performance of modelling techniques that estimate time varying systematic risk. We focus on the three most commonly used approaches in the literature, namely multivariate generalised ARCH model (M-GARCH), the time varying heteroskedastic market model and time dependent betas estimated with the Kalman Filter algorithm. |
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