Cisse, Mamadou; Konte, Mamadou; Toure, Mohamed; Assani, … - In: Journal of risk and financial management : JRFM 12 (2019) 1/27, pp. 1-15
The conditional capital asset pricing model (CAPM) theory postulates that the systematic risk ( β ) of an asset or portfolio varies over time. Several dynamics are thus given to systematic risk in the literature. This article looks for the dynamic that seems to best explain the returns of the...