@misc{Szczepocki_Piotr_Clustering_2019,
 author={Szczepocki, Piotr},
 identifier={DOI: 10.15611/eada.2019.2.05},
 year={2019},
 rights={Pewne prawa zastrzeżone na rzecz Autorów i Wydawcy},
 publisher={Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu},
 description={Econometrics = Ekonometria, 2019, Vol. 23, No. 2, s. 63-79},
 language={eng},
 abstract={The beta parameter is a popular tool for the evaluation of portfolio performance. The Sharpe single-index model is a simple regression model in which the stock’s returns are regressed against the returns of a broader index. The beta parameter is a measure of the strength of this relation. Extensive recent research has proved that the beta is not constant in time and should be modelled as a time-variant coefficient. One of the most popular methods of the estimation of a time-varying beta is the Kalman filter. As the output of the Kalman filter, one obtains a sequence of the estimates of a time-varying beta. This sequence shows the historical dynamics of sensitivity of a company’s returns to the variations of market returns. The article proposes a method of clustering companies listed on the Warsaw Stock Exchange according to time-varying betas},
 title={Clustering companies listed on the Warsaw Stock Exchange according to time-varying beta},
 type={artykuł},
 keywords={time series clustering, cluster analysis, time-varying beta, grupowanie szeregów czasowych, analiza skupień, bety zmienne w czasie, CAPM},
}