Estimates of time-varying betas of Philippine stocks
This study examines the time profile of the risks of selected Philippine stocks using weekly data from 1993 to 2006. This is done by estimating beta-a measure of riskiness of an asset relative to market risk that varies through time, using multivariate GARCH . The movements of beta through time show...
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| Format: | Thesis |
| Language: | English |
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