Becker, Janis; Hollstein, Fabian; Prokopczuk, Marcel; Sibbertsen, Philipp
(Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2020)
Researchers and practitioners employ a variety of time-series processes to forecast betas, using either short-memory models or implicitly imposing infinite memory. We find that both approaches are inadequate: beta factors ...