Time-varying beta during the 2008 financial crisis : evidence from North America and Western Europe
Year of publication: |
2017
|
---|---|
Authors: | Ben Slimane, Ikrame ; Bellalah, Makram ; Rjiba, Hatem |
Published in: |
Journal of risk finance : the convergence of financial products and insurance. - Bingley : Emerald Group Publishing Limited, ISSN 1526-5943, ZDB-ID 2088897-1. - Vol. 18.2017, 4, p. 398-431
|
Subject: | GARCH | Subprime crisis | BEKK model | Time-varying beta | Finanzkrise | Financial crisis | Betafaktor | Beta risk | ARCH-Modell | ARCH model | Europa | Europe | CAPM | Aktienmarkt | Stock market |
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