- Tytuł:
- Clustering companies listed on the Warsaw Stock Exchange according to time-varying beta
- Autorzy:
- Szczepocki, Piotr
- Powiązania:
- https://bibliotekanauki.pl/articles/424953.pdf
- Data publikacji:
- 2019
- Wydawca:
- Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
- Tematy:
-
time series clustering
cluster analysis
time-varying beta - Opis:
- The beta parameter is a popular tool for the evaluation of portfolio performance. The Sharpe single-index model is a simple regression model in which the stock’s returns are regressed against the returns of a broader index. The beta parameter is a measure of the strength of this relation. Extensive recent research has proved that the beta is not constant in time and should be modelled as a time-variant coefficient. One of the most popular methods of the estimation of a time-varying beta is the Kalman filter. As the output of the Kalman filter, one obtains a sequence of the estimates of a time-varying beta. This sequence shows the historical dynamics of sensitivity of a company’s returns to the variations of market returns. The article proposes a method of clustering companies listed on the Warsaw Stock Exchange according to time-varying betas.
- Źródło:
-
Econometrics. Ekonometria. Advances in Applied Data Analytics; 2019, 23, 2; 63-79
1507-3866 - Pojawia się w:
- Econometrics. Ekonometria. Advances in Applied Data Analytics
- Dostawca treści:
- Biblioteka Nauki