Dynamic Conditional Beta
Article Properties
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LanguageEnglish
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DOI (url)
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Publication Date2016/08/29
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Indian UGC (journal)
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Refrences35
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Citations57
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Robert F. Engle
Cite
Engle, Robert F. “Dynamic Conditional Beta”. Journal of Financial Econometrics, vol. 14, no. 4, 2016, pp. 643-67, https://doi.org/10.1093/jjfinec/nbw006.
Engle, R. F. (2016). Dynamic Conditional Beta. Journal of Financial Econometrics, 14(4), 643-667. https://doi.org/10.1093/jjfinec/nbw006
Engle RF. Dynamic Conditional Beta. Journal of Financial Econometrics. 2016;14(4):643-67.
Journal Categories
Social Sciences
Commerce
Business
Social Sciences
Economic theory
Demography
Economics as a science
Social Sciences
Finance
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Refrences
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
| Estimation of Time-Varying Hedge Ratios for Corn and Soybean: Bivariate-GARCH and Random Coefficient Approaches | Agricultural Economics |
| 1997 | |
| A method for discriminating between models | 1970 | |||
| Further results on tests of separate families of hypothesis | 1962 | |||
| 10.1093/acprof:oso/9780199679959.003.0011 | ||||
| 10.1515/9781400830190 |
Citations
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
| Measuring the G20 stock market return transmission mechanism: Evidence from the R2 connectedness approach | International Review of Financial Analysis |
| 6 | 2024 |
Empirical Asset Pricing with Score-Driven Conditional Betas | Journal of Financial Econometrics |
| 2024 | |
Generalized Autoregressive Conditional Betas: A New Multivariate Score-Driven Filter | Studies in Nonlinear Dynamics and Econometrics |
| 2024 | |
Persistence in the Realized Betas: Some Evidence from the Stock Market | Journal of Risk and Financial Management |
| 2024 | |
| An Empirical Analysis of the Correlation of Agricultural Sectors in the Chinese Stock Market Based on the DCC-GARCH Model | Journal of Mathematical Finance | 2024 |
Citations Analysis
The category
Social Sciences: Finance 29
is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled Autoregressive Conditional Parameter Model and Applications and was published in 2016. The most recent citation comes from a 2024 study titled Persistence in the Realized Betas: Some Evidence from the Stock Market. This article reached its peak citation in 2023, with 15 citations. It has been cited in 31 different journals, 9% of which are open access. Among related journals, the SSRN Electronic Journal cited this research the most, with 17 citations. The chart below illustrates the annual citation trends for this article.