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ESTIMATING TIME-VARYING SYSTEMATIC RISK BY USING KALMAN FILTER APPROACH: EVIDENCES FROM THE STOCK EXCHANGE OF THAILAND |
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| รหัสดีโอไอ | |
| Creator | Muttalath Kridsadarat |
| Title | ESTIMATING TIME-VARYING SYSTEMATIC RISK BY USING KALMAN FILTER APPROACH: EVIDENCES FROM THE STOCK EXCHANGE OF THAILAND |
| Publisher | สถาบันการจัดการปัญญาภิวัฒน์ |
| Publication Year | 2558 |
| Journal Title | วารสารปัญญาภิวัฒน์ |
| Journal Vol. | 7 |
| Journal No. | Supplementary |
| Page no. | 84 |
| Keyword | time-varying systematic risk, Dynamic beta, Kalman filter, Autoregressive model, Random walk model, Random coefficient model |
| ISSN | 1906-7658 |
