Does beta react to market conditions? Estimates of 'bull' and 'bear' betas using a nonlinear market model with an endogenous threshold parameter
Year of publication: |
2009
|
---|---|
Authors: | Woodward, George ; Anderson, Heather |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 9.2009, 8, p. 913-924
|
Publisher: |
Taylor & Francis Journals |
Subject: | Bull and bear betas | Dual-beta market (DBM) | Models | Linearity tests | Logistic smooth transition market (LSTM) models | Sequential conditional least squares (SCLS) |
-
Woodward, George, (2003)
-
Inflation convergence in the new EU member states
Spiru, A M, (2007)
-
Explaining movements in UK stock prices:
Aslanidis, Nektarios, (2003)
- More ...
-
Woodward, George, (2003)
-
Woodward, G. Thomas, (2003)
-
Foreign retail banner longevity
Finnegan, Carol, (2019)
- More ...