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Constant versus Time‐Varying Beta Models: Further Forecast Evaluation

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  • Jonathan J. Reeves
  • Haifeng Wu

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  • Jonathan J. Reeves & Haifeng Wu, 2013. "Constant versus Time‐Varying Beta Models: Further Forecast Evaluation," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(3), pages 256-266, April.
    • Handle: RePEc:wly:jforec:v:32:y:2013:i:3:p:256-266
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    Cited by:

    1. Mats Wilhelmsson & Jianyu Zhao, 2018. "Risk Assessment of Housing Market Segments: The Lender’s Perspective," JRFM, MDPI, vol. 11(4), pages 1-22, October.
    2. Luo, Jiawen & Chen, Langnan, 2020. "Realized volatility forecast with the Bayesian random compressed multivariate HAR model," International Journal of Forecasting, Elsevier, vol. 36(3), pages 781-799.
    3. 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.
    4. 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.
    5. Becker, Christoph & Schmidt, Wolfgang M., 2015. "How past market movements affect correlation and volatility," Journal of International Money and Finance, Elsevier, vol. 50(C), pages 78-107.

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