Forecasting performance of different betas: Mexican stocks before and during the COVID-19 pandemic
F Lopez Herrera, J González Maiz Jiménez… - … Markets Finance and …, 2022 - Taylor & Francis
This study comparatively evaluated the forecasting performance of a constant beta and two
time-varying beta process specifications. Returns for 23 stocks were forecasted for several …
time-varying beta process specifications. Returns for 23 stocks were forecasted for several …
[PDF][PDF] Performance evaluation of modified adaptive Kalman filters, least means square and recursive least square methods for market risk beta and VaR estimation
A Das - Quantitative Finance and Economics, 2019 - researchgate.net
Adaptive Kalman Filters (AKFs) are well known for their navigational applications. This work
bridges the gap in the evolution of AKFs to handle parameter inconsistency problems with …
bridges the gap in the evolution of AKFs to handle parameter inconsistency problems with …
[PDF][PDF] What if beta is not stable? Applying the Kalman filter to risk estimates of top US companies over the long time horizon
The main objective of this paper is to examine the Kalman approach to estimate the time-
varying CAPM beta on the US stock market over the long time horizon of thirty-one years …
varying CAPM beta on the US stock market over the long time horizon of thirty-one years …
Some New Alternative Formulations of Adaptive Kalman Filter for Market Risk Beta Estimation
A Das - International Journal of Business Analytics (IJBAN), 2021 - igi-global.com
Kalman filter (KF) provides optimal beta estimate with linear models where the noise
covariances are known a priori. Noise covariance adaptation-based adaptive KFs (AKFs) …
covariances are known a priori. Noise covariance adaptation-based adaptive KFs (AKFs) …
[PDF][PDF] Macroeconomic forecasting in Poland: lessons from the external shocks
J Rybacki, M Gniazdowski - 2020 - bankandcredit.nbp.pl
The aim of this paper is to analyse the forecast errors of Polish professional forecasters
under the external shock of the COVID-19 crisis in 2020-based on the Parkiet competition …
under the external shock of the COVID-19 crisis in 2020-based on the Parkiet competition …
[PDF][PDF] Parameter Estimations of Stochastic Volatility Model by Modified Adaptive Kalman Filter with QML
A Das - academia.edu
To determine the parameters of Stochastic Volatility Model (SVM), a modification to the
Quasi Maximum Likelihood (QML) scheme has been proposed by employing (modified) …
Quasi Maximum Likelihood (QML) scheme has been proposed by employing (modified) …