Time-varying Betas of the Banking Sector
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- Tomas Adam & Sona Benecka & Ivo Jansky, 2012. "Time-Varying Betas of Banking Sectors," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(6), pages 485-504, December.
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More about this item
KeywordsCAPM; Time-varying Beta; Multivariate GARCH; Bayesian State Space Models; Stochastic Volatility;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-BAN-2012-10-06 (Banking)
- NEP-CBA-2012-10-06 (Central Banking)
- NEP-ORE-2012-10-06 (Operations Research)
- NEP-RMG-2012-10-06 (Risk Management)
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