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- W2000466262 abstract "Beta parameter is used in finance in the form of market model to estimate systematic risk. Such βs are assumed to be time invariant. Literature shows that now there is a considerable evidence that β risk is not constant over time. The aim of this article is the estimation of time-varying Italian industry parameter βs using the Kalman filter technique. This approach is applied to returns of the Italian market over the period 1991-2001." @default.
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- W2000466262 date "2003-08-01" @default.
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- W2000466262 title "The Kalman Filter Approach for Time-varying ß Estimation" @default.
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- W2000466262 doi "https://doi.org/10.1080/0232929031000150373" @default.
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