Forecasting downside betas with multi-period components
Accurate forecasts of downside betas are critical for portfolio risk management because investors place greater weight on downside losses versus upside gains. While fractionally integrated models can capture persistence of downside betas, this approach solely utilizes information in samples related...
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| Egile Nagusiak: | , |
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| Formatua: | Artigo |
| Hizkuntza: | Inglês |
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Elsevier
2025-12-01
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| Saila: | International Review of Economics & Finance |
| Gaiak: | |
| Sarrera elektronikoa: | http://www.sciencedirect.com/science/article/pii/S1059056025009402 |
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