Chiarella, Carl; Dieci, Roberto; He, Xue-Zhong - In: Journal of Evolutionary Economics 23 (2013) 3, pp. 609-639
The conditional CAPM with time-varying betas has been widely used to explain the cross-section of asset returns … an explicit dynamic behaviour CAPM relation between the expected equilibrium returns and time-varying betas. By … betas. We also show that the commonly used rolling window estimates of time-varying betas may not be consistent with the ex …