Generalized Autoregressive Conditional Betas: A New Multivariate Score-Driven Filter
New: A new asset pricing model, the generalized ACB, is introduced, enhancing the autoregressive conditional beta model by driving dynamic interaction effects among beta coefficients.
Featured in No. 22 on 18 Oct 2023 · 5 days after release · 1 citation today · published in Studies in Nonlinear Dynamics & Econometrics
- Released
- 13 Oct 2023
- First featured
- No. 22 · 18 Oct 2023
- Citations (Semantic Scholar)
- 1
- Influential citations
- 0
- Published in
- Studies in Nonlinear Dynamics & Econometrics
- Shares when featured
- 5
- Identifier
- SSRN 4602060
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).