The kalman filter approach for time-varying β estimation

被引：0
作者：
Gastaldi, Massimo [1 ]
Nardecchia, Annamaria [1 ]
机构：
[1] Department of Electrical Engineering, University of l'Aquila
来源：
| 2003年 / Taylor and Francis Inc.卷 / 43期
关键词：
Kalman filter; Market index; Time-varying; β;
D O I：
10.1080/0232929031000150373
中图分类号：
学科分类号：
摘要：
Beta parameter is used in finance in the form of market model to estimate systematic risk. Such βs are assumed to be time invariant. Literature shows that now there is a considerable evidence that β risk is not constant over time. The aim of this article is the estimation of time-varying Italian industry parameter βs using the Kalman filter technique. This approach is applied to returns of the Italian market over the period 1991-2001.
引用
收藏
页码：1033 / 1042
页数：9
相关论文
共 22 条
  • [1] Fuller R.J., Farrell J.L., Analisi Degli Investimenti Finanziari, (1993)
  • [2] Fama E.F., Risk, return and equilibrium: Some clarifying comments, Journal of Finance, 23, 1, pp. 29-40, (1968)
  • [3] Mandelbrot B., The valuation of certain speculative prices, Journal of Business, 36, 3, pp. 394-419, (1963)
  • [4] Mandelbrot B., Forecasts of future prices, unbiased markets and martingale models, Journal of Business, 39, SPECIAL SUPPL., pp. 242-255, (1966)
  • [5] Fama E.F., Behaviour of stock market prices, Journal of Business, 38, 1, pp. 34-105, (1965)
  • [6] Sharpe W.F., Capital asset prices: A theory of market equilibrium under conditions of risk, Journal of Finance, 19, 3, pp. 425-442, (1964)
  • [7] Fama E.F., Fisher L., Jensen M., Roll R., The adjustment of stock prices to new information, International Economic Review, 10, 1, pp. 1-21, (1969)
  • [8] Jensen M., Risk, the pricing of capital assets and the evaluation of investment portfolios, Journal of Business, 39, 1, pp. 167-247, (1969)
  • [9] Fabozzi F.J., Francis J.C., Beta as a random coefficient, Journal of Financial and Quantitative Analysis, 13, pp. 101-115, (1978)
  • [10] Cheng J.W., A switching regression approach to the stationarity of systematic and non systematic risks: The Hong Kong experience, Applied Financial Economics, 7, pp. 45-58, (1997)
123