Logo
Munich Personal RePEc Archive

Dynamic Beta

Bell, Peter (2018): Dynamic Beta.

[thumbnail of MPRA_paper_86482.pdf]
Preview
PDF
MPRA_paper_86482.pdf

Download (91kB) | Preview

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.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.