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Nonparametric Dynamic Conditional Beta

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Table 2: This table reports the marginal log-predictive likelihood for MGARCH-DPM model,for the last 500 observations, from 12/03/2012 to 31/12/2013 for the univariate stock return.Data are daily excess market returns, SMB, HML and momentum returns coupled
Table 4: IBM Estimates: This table displays posterior mean and 95% density intervals (DI) forthe parameters of MGARCH-DPM and MGARCH-t models
Table 6: GE Estimates: This table displays posterior mean and 95% density intervals (DI) forthe parameters of MGARCH-DPM and MGARCH-t models
Table 8: BAC Estimates: This table displays posterior mean and 95% density intervals (DI)for the parameters of MGARCH-DPM and MGARCH-t models
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