Bayesian approach to financial risk
SARMA, JONALI
Bayesian approach to financial risk An empirical investigation into Indian stock market - 2012 - 499-512
The ordinary least square (OLS) estimate of beta has been widely used as a measure of systematic risk in investment and portfolio analysis. The estimation is based on the assumption that beta is stationary over time. But numerous studies show thatbeta is unstable over time. So the use of OLS method in investment and portfolio analysis will yield an inefficient estimate of systematic risk.
FINANCIAL RISK
332.6322
Bayesian approach to financial risk An empirical investigation into Indian stock market - 2012 - 499-512
The ordinary least square (OLS) estimate of beta has been widely used as a measure of systematic risk in investment and portfolio analysis. The estimation is based on the assumption that beta is stationary over time. But numerous studies show thatbeta is unstable over time. So the use of OLS method in investment and portfolio analysis will yield an inefficient estimate of systematic risk.
FINANCIAL RISK
332.6322