Dynamic models of beta measurement in the Malaysian banking sector / N. H. Yaakop Yahaya Al-Haj and M. Nurol ain

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Dynamic models of beta measurement in the Malaysian banking sector / N. H. Yaakop Yahaya Al-Haj and M. Nurol ain

This paper concentrates on the estimation of beta in the Malaysian banking sector using three different dynamic econometric techniques, specifically Kalman Filter, GARCH(1, 1) and Schwert and Seguin (1990). These techniques consider the behavior of the banks' betas in respect to the country...

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Bibliographic Details
Format:	Article
Language:	English
Published:	Faculty of Business and Management ; UiTM Press 2006
Online Access:	https://ir.uitm.edu.my/id/eprint/16758/

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