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Keywords: Rolling regressions
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Journal Articles
Journal:
American Journal of Business
American Journal of Business 1–16.
Published: 14 September 2026
...) and applies the Kalman Filter to understand the time-varying characteristics of the indices, followed by an estimate of time-varying beta sensitivity using rolling regressions and a test of variability using rolling standard deviations. Parameter stability is tested using structural breaks, while risk...
