Bell, Peter (2018): Dynamic Beta.
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Abstract
The phrase “Dynamic Beta” is broad and this paper describes statistical procedure for estimating regression coefficients in a way that allows for variation across relevant subsets of the data. For example, the time axis. I describe an algorithm to structure the search for variation in sets of coefficient estimates and discuss the example of a single stock versus a stock index. In the end, I suggest that a human analyst has an important role for someone who has relevant skill in pattern recognition and subject area expertise.
| Item Type: | MPRA Paper |
|---|---|
| Original Title: | Dynamic Beta |
| Language: | English |
| Keywords: | Statistics, |
| Subjects: | C - Mathematical and Quantitative Methods > C0 - General > C00 - General C - Mathematical and Quantitative Methods > C0 - General > C02 - Mathematical Methods |
| Item ID: | 86482 |
| Depositing User: | Peter N Bell |
| Date Deposited: | 06 May 2018 17:51 |
| Last Modified: | 09 Oct 2019 16:39 |
| References: | Engle, J. (February 27, 2014). Dynamic Conditional Beta. Retrieved from https://www.frbsf.org/economic-research/files/Thu_1340_Engle.pdf |
| URI: | https://mpra.ub.uni-muenchen.de/id/eprint/86482 |
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