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Bayesian and mixed estimators of time varying betas

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  • Chen, Son-Nan
  • Lee, Cheng F.

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  • Chen, Son-Nan & Lee, Cheng F., 1982. "Bayesian and mixed estimators of time varying betas," Journal of Economics and Business, Elsevier, vol. 34(4), pages 291-301.
    • Handle: RePEc:eee:jebusi:v:34:y:1982:i:4:p:291-301
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    Cited by:

    1. Szczepocki Piotr, 2019. "Clustering Companies Listed on the Warsaw Stock Exchange According to Time-Varying Beta," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 23(2), pages 63-79, June.
    2. Esteban González, María Victoria & Tusell Palmer, Fernando Jorge, 2009. "Predicting Betas: Two new methods," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    3. N. Groenewold & P. Fraser, 1999. "Forecasting Beta: How well does the 'five year rule of thumb' do?," Economics Discussion / Working Papers 99-01, The University of Western Australia, Department of Economics.
    4. Burnett, John E. & Carroll, Carolyn & Thistle, Paul, 1995. "Implications of multiple structural changes in event studies," The Quarterly Review of Economics and Finance, Elsevier, vol. 35(4), pages 467-480.
    5. Bill McDonald & William D. Nichols, 1984. "Nonstationarity Of Beta And Tests Of Market Efficiency," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 7(4), pages 315-322, December.

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