Dynamic Conditional Beta
提出动态条件贝塔方法，利用时变协方差矩阵估计回归参数，开发了常数贝塔假设的非嵌套检验，并应用于行业多因子资产定价和全球系统性风险估计。
Dynamic conditional beta is an approach to estimating regressions with time varying parameters. The conditional covariance matrices of the exogenous and dependent variable for each time period are used to formulate the dynamic beta. Joint estimation of the covariance matrices and other regression parameters is developed. Tests of the hypothesis that betas are constant are non-nested tests and several approaches are developed including a novel nested model. The methodology is applied to industry multifactor asset pricing and to global systemic risk estimation with non-synchronous prices.