Estimating the systematic risk of airlines: A methodological comparison

I. Yuan Chuang, Jin Ray Lu, Ching-Fu Chen

Research output: Contribution to journalArticlepeer-review

4 Citations (Scopus)

Abstract

This paper focuses on the estimation of systematic risks in a sample of airlines by using three time-varying models (i.e. the Schwert and Seguin model, the multivariate GARCH model and the Kalman filter algorithm) as well as the conventional capital asset pricing model. Using both domestic and international market indices, the results show that the Kalman filter algorithm method with the domestic market index as a benchmark appears to be the superior model for capturing systematic risk in the airline industry.

Original languageEnglish
Pages (from-to)103-105
Number of pages3
JournalJournal of Air Transport Management
Volume12
Issue number2
DOIs
Publication statusPublished - 2006 Mar 1

All Science Journal Classification (ASJC) codes

  • Transportation
  • Strategy and Management
  • Management, Monitoring, Policy and Law
  • Law

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