---
title: Generalized Autoregressive Conditional Betas: A New Multivariate Score-Driven Filter
url: https://www.ml-quant.com/papers/ssrn/4602060/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4602060
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4602060
featured: 2023-10-18
citations: 1
topic: Asset Pricing & Factors
---


# 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.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4602060
- Identifier: SSRN 4602060
- Released: 2023-10-13
- First featured: Quant Letter No. 22 (2023-10-18): https://www.ml-quant.com/issues/2023-10-18/
- Citations (Semantic Scholar): 1
- Published in: Studies in Nonlinear Dynamics & Econometrics
- Topic: Asset Pricing & Factors

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