Sequential monitoring of portfolio betas
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://link.springer.com/article/10.1007/s00362-016-0783-6/fulltext.html
Reference43 articles.
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3. Andersen T, Bollerslev T, Diebold F, Wu J (2006) Realized beta: persistence and predictability. In: Fomby T, Terrell D (eds.) Advances in econometrics: econometric analysis of economic and financial time series, in Honor of R.F. Engle and C.W.J. Granger, vol B. Elsevier, Oxford, pp 1–40
4. Andreou E, Ghysels E (2006) Monitoring disruptions in financial markets. J Econ 135:77–124
5. Andreou E, Ghysels E (2008) Quality control for structural credit risk models. J Econ 146:364–375
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