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Title: Clustering companies listed on the Warsaw Stock Exchange according to time-varying beta
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Econometrics = Ekonometria, 2019, Vol. 23, No. 2, s. 63-79
Abstrakt:
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
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Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
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doi:10.15611/eada.2019.2.05 ; oai:dbc.wroc.pl:70164
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Econometrics = Ekonometria, 2019, Vol. 23, No. 2
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Dla wszystkich zgodnie z licencją
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- Dolnośląska Biblioteka Cyfrowa > Uczestnicy Konsorcjum > 04. Uniwersytet Ekonomiczny we Wrocławiu > Czasopisma wydawane przez Wydawnictwo UEW
- Dolnośląska Biblioteka Cyfrowa > Uczestnicy Konsorcjum > 04. Uniwersytet Ekonomiczny we Wrocławiu > Czasopisma wydawane przez Wydawnictwo UEW > Econometrics = Ekonometria. Advances in Applied Data Analysis
- Dolnośląska Biblioteka Cyfrowa > Zasoby > 2. Czasopisma > Czasopisma współczesne
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Jun 14, 2019
In our library since:
Jun 14, 2019
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2
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https://dbc.wroc.pl/publication/134593
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| Edition name | Date |
|---|---|
| Clustering companies listed on the Warsaw Stock Exchange according to time-varying beta | Jun 14, 2019 |
