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, Monteluco di Roio 67100 l'Aquila, Italy
来源：
| 2003年 / Taylor and Francis Inc.卷 / 43期
关键词：
Market index - Systematic risk estimation - Time-varying estimation - Time-varying Italian industry parameter;
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.
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