Time-varying beta, market volatility and stress : a comparison between the United States and India
Year of publication: |
2021
|
---|---|
Authors: | Chakrabarti, Gagari |
Published in: |
IIMB management review. - Bangalore : IIMB, ISSN 0970-3896, ZDB-ID 2413253-6. - Vol. 33.2021, 1, p. 50-63
|
Subject: | Time-varying beta | Market risk | Volatility | Stress index | MV GARCH model | USA | United States | Volatilität | ARCH-Modell | ARCH model | Betafaktor | Beta risk | Indien | India | Aktienmarkt | Stock market | Vergleich | Comparison | CAPM | Börsenkurs | Share price |
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