Scholarly edition
Nonparametric Dynamic Conditional Beta*
Abstract
Abstract
This article derives a dynamic beta representation using a Bayesian semiparametric multivariate generalized autoregressive conditional heteroskedasticity (GARCH) model. The conditional joint distribution of excess stock returns and market excess returns is modeled as a countably infinite mixture of normals. This allows for deviations from the elliptic family of distributions. Empirically, we find the time-varying beta …
Authors
Maheu JM; Zamenjani AS
Pagination
pp. 583-613
Publisher
Oxford University Press (OUP)
Publication Date
October 19, 2021
DOI
10.1093/jjfinec/nbz024