Time-varying beta risk of Pan-European industry portfolios: A comparison of alternative modeling techniques
2008 | conference paper. A publication with affiliation to the University of Göttingen.
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Time-varying beta risk of Pan-European industry portfolios: A comparison of alternative modeling techniques
Mergner, S. & Bulla, J. (2008)
European Journal of Finance, 14(8) pp. 771-802. Conference on Computational Statistics and Data Analysis, Limassol, CYPRUS.
Abingdon: Routledge Journals, Taylor & Francis Ltd. DOI: https://doi.org/10.1080/13518470802173396
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Details
- Authors
- Mergner, Sascha; Bulla, Jan
- Abstract
- This paper investigates the time-varying behavior of systematic risk for 18 pan-European sectors. Using weekly data over the period 1987-2005, six different modeling techniques in addition to the standard constant coefficient model are employed: a bivariate t-GARCH(1,1) model, two Kalman filter (KF)-based approaches, a bivariate stochastic volatility model estimated via the efficient Monte Carlo likelihood technique as well as two Markov switching models. A comparison of ex-ante forecast performances of the different models indicate that the random walk process in connection with the KF is the preferred model to describe and forecast the time-varying behavior of sector betas in a European context.
- Issue Date
- 2008
- Status
- published
- Publisher
- Routledge Journals, Taylor & Francis Ltd
- Journal
- European Journal of Finance
- Conference
- Conference on Computational Statistics and Data Analysis
- Conference Place
- Limassol, CYPRUS
- ISSN
- 1351-847X
