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Zeitvariable Beta-Faktoren am deutschen Aktienmarkt

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Brand
Springer Nature
Manufacturer
N/A
Part Number
0
GTIN
9783824464173
Condition
New
Product Description

Beta-Faktoren von Aktien gehren zu den wichtigsten Instrumenten der modernen Investmentanalyse. Viele empirische Studien geben deutliche Hinweise darauf, da sich Beta-Faktoren im Zeitablauf ndern. Als stochastische Modelle kommen daher Regressions- und Zeitreihenmodelle mit zeitvariablen Parametern zur Anwendung. Es zeigt sich jedoch, da die im Normalfall getroffene Modellannahme der Homoskedastizitt bei Verwendung von Tagesdaten zu restriktiv ist. Gisela Loos erweitert den blichen Ansatz linearer Zustandsraummodelle fr zeitvariable Parameter dahingehend, da der Fehlerproze im Beobachtungsmodell als GARCH-Proze modelliert wird. Insbesondere untersucht die Autorin die Auswirkung bedingter Heteroskedastizitt auf die Variabilitt von Beta-Faktoren. Das so erhaltene Zustandsraummodell mit bedingter Normalitt und Heteroskedastizitt fhrt in der Regel zu besseren Prognosen.

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