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Quarterly beta forecasting: An evaluation

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  • Hooper, Vincent J.
  • Ng, Kevin
  • Reeves, Jonathan J.

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  • Hooper, Vincent J. & Ng, Kevin & Reeves, Jonathan J., 2008. "Quarterly beta forecasting: An evaluation," International Journal of Forecasting, Elsevier, vol. 24(3), pages 480-489.
    • Handle: RePEc:eee:intfor:v:24:y:2008:i:3:p:480-489
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    Cited by:

    1. Xiong, Tao & Bao, Yukun & Hu, Zhongyi, 2013. "Beyond one-step-ahead forecasting: Evaluation of alternative multi-step-ahead forecasting models for crude oil prices," Energy Economics, Elsevier, vol. 40(C), pages 405-415.
    2. Tolga Cenesizoglu & Denada Ibrushi, 2020. "Predicting Systematic Risk With Macroeconomic And Financial Variables," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 43(3), pages 649-673, August.
    3. Taiyong Li & Min Zhou & Chaoqi Guo & Min Luo & Jiang Wu & Fan Pan & Quanyi Tao & Ting He, 2016. "Forecasting Crude Oil Price Using EEMD and RVM with Adaptive PSO-Based Kernels," Energies, MDPI, vol. 9(12), pages 1-21, December.
    4. Ortas, E. & Salvador, M. & Moneva, J.M., 2015. "Improved beta modeling and forecasting: An unobserved component approach with conditional heteroscedastic disturbances," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 27-51.
    5. Guglielmo Maria Caporale & Luis A. Gil-Alana & Miguel Martin-Valmayor, 2020. "Persistence in the Realized Betas: Some Evidence for the Spanish Stock Market," CESifo Working Paper Series 8171, CESifo.
    6. Andrew Phin & Todd Prono & Jonathan J. Reeves & Konark Saxena, 2018. "Level Shifts in Beta, Spurious Abnormal Returns and the TARP Announcement," Finance and Economics Discussion Series 2018-081, Board of Governors of the Federal Reserve System (U.S.).
    7. Doan, Bao & Lee, John B. & Liu, Qianqiu & Reeves, Jonathan J., 2022. "Beta measurement with high frequency returns," Finance Research Letters, Elsevier, vol. 47(PA).
    8. Tolga Cenesizoglu & Jonathan J. Reeves, 2013. "CAPM, Components of Beta and the Cross Section of Expected Returns," CIRANO Working Papers 2013s-09, CIRANO.
    9. Cenesizoglu, Tolga & de Oliveira Ferrazoli Ribeiro, Fabio & Reeves, Jonathan J., 2017. "Beta forecasting at long horizons," International Journal of Forecasting, Elsevier, vol. 33(4), pages 936-957.
    10. Juan Carlos Gutierrez Betancur, 2017. "Robust Estimation of beta and the hedging ratio in Stock Index Futures In the Integrated Latin American Market," Revista Ecos de Economía, Universidad EAFIT, vol. 21(44), pages 37-71, June.
    11. Taiyong Li & Zhenda Hu & Yanchi Jia & Jiang Wu & Yingrui Zhou, 2018. "Forecasting Crude Oil Prices Using Ensemble Empirical Mode Decomposition and Sparse Bayesian Learning," Energies, MDPI, vol. 11(7), pages 1-23, July.
    12. Dimitrios Dadakas & Christos Karpetis & Athanasios Fassas & Erotokritos Varelas, 2016. "Sectoral Differences in the Choice of the Time Horizon during Estimation of the Unconditional Stock Beta," IJFS, MDPI, vol. 4(4), pages 1-13, December.
    13. Nolan, Sheila & O’Malley, Mark, 2015. "Challenges and barriers to demand response deployment and evaluation," Applied Energy, Elsevier, vol. 152(C), pages 1-10.
    14. Phin, Andrew & Prono, Todd & Reeves, Jonathan J. & Saxena, Konark, 2022. "Shifts in beta and the TARP announcement," Finance Research Letters, Elsevier, vol. 47(PB).
    15. Papageorgiou, Nicolas & Reeves, Jonathan J. & Xie, Xuan, 2016. "Betas and the myth of market neutrality," International Journal of Forecasting, Elsevier, vol. 32(2), pages 548-558.

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