Dynamic Conditional Beta

By Robert F. Engle. 2016

162 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/7944003286a26b0faf64ecd95a0abf0cda8f9a5f

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Michael Wolf
2. Olivier Ledoit
3. G. D. Nard
4. Victor DeMiguel
5. Francisco Javier Nogales
6. Jiahan Li
7. Raman Uppal
8. Jianqing Fan

In Finance

1. Michael Wolf
2. Olivier Ledoit
3. G. D. Nard
4. Victor DeMiguel
5. Francisco Javier Nogales
6. Jiahan Li
7. Clifford Lam
8. Raman Uppal

Citations in the corpus

• Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly (2019, background): “…results in what is commonly referred to as a conditional factor model; for example, see Avramov and Chordia (2006), Ang and Kristensen (2012), Engle (2016), and Bali, Engle, De Nard et al. j Portfolio Selection in Large Dimensions 239 D ow nloaded from https://academ ic.oup.com…”