Beta Risk and Regime Shift in Market Volatility
Year of publication: |
2004-08-11
|
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Authors: | Galagedera, Don U.A. ; Shami, Roland G. |
Institutions: | Econometric Society |
Subject: | Markov regime-switching | Market volatility | Beta risk |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | The text is part of a series Econometric Society Australasian Meetings 2004 Number 126 |
Classification: | G12 - Asset Pricing ; G15 - International Financial Markets |
Source: |
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Beta Risk and Regime Shift in Market Volatility
Shami, Roland, (2004)
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Galagedera, Don U.A., (2003)
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