Dynamic Beta

Peter Bell

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Statistics (search for similar items in EconPapers)
JEL-codes: C00 C02 (search for similar items in EconPapers)
Date: 2018-05-03
References: Add references at CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/86482/1/MPRA_paper_86482.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:86482

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().