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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
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