Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - Center for Financial Studies - 2004
emerging consensus that betas are in fact time-varying, leading to the prominence of the conditional CAPM. Set against that …
the prominence of the conditional CAPM. Set against that background, we assess the
dynamics in realized betas, vis …, CAPM,
equity betas, long memory, nonlinear fractional cointegration, continuous-time methods.
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The Roll (1977 …