The beta parameter is used in finance to estimate systematic risk and usually it is assumed to be time invariant. The literature shows that there is now considerable evidence that beta risk is not constant over time. The aim of this paper is the estimation of time-varying Italian industry parameter betas using a new approach based on the Kalman filter technique and on polynomial estimates. This approach is applied to returns of the Italian market over the period 1991-2001
The use of quadratic filter for the estimation of time-varying β.
GASTALDI, MASSIMO;GERMANI, Alfredo;
2006-01-01
Abstract
The beta parameter is used in finance to estimate systematic risk and usually it is assumed to be time invariant. The literature shows that there is now considerable evidence that beta risk is not constant over time. The aim of this paper is the estimation of time-varying Italian industry parameter betas using a new approach based on the Kalman filter technique and on polynomial estimates. This approach is applied to returns of the Italian market over the period 1991-2001File in questo prodotto:
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