Yazar "Demirer, Rıza" için listeleme
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Flexible Time-Varying Betas in a Novel Mixture Innovation Factor Model with Latent Threshold
Balcılar, Mehmet; Demirer, Rıza; Bekun, Festus Victor (MDPI, ST ALBAN-ANLAGE 66, CH-4052 BASEL, SWITZERLAND, 2021)This paper introduces a new methodology to estimate time-varying alphas and betas in conditional factor models, which allows substantial flexibility in a time-varying framework. To circumvent problems associated with the ...