Time-Varying Beta Estimators in the Mexican Emerging Market
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More about this item
Keywordstime-varying beta; nonparametric estimator; GARCH based beta estimator;
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-02-08 (All new papers)
- NEP-ECM-2012-02-08 (Econometrics)
- NEP-FMK-2012-02-08 (Financial Markets)
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