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ECONIS (ZBW)
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1
The Conditional
CAPM
Explains the Value Premium
Bali, Turan G.
-
2014
This paper proposes alternative specifications of the conditional
CAPM
with dynamic conditional beta and tests the …
CAPM
in explaining the value premium. The results also show that the dynamic conditional covariances of book …
Persistent link: https://www.econbiz.de/10013065048
Saved in:
2
Dynamic conditional beta
Engle, Robert F.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
Saved in:
3
Dynamic conditional beta is alive and well in the cross section of daily stock returns
Bali, Turan G.
;
Engle, Robert F.
;
Tang, Yi
- In:
Management science : journal of the Institute for …
63
(
2017
)
11
,
pp. 3760-3779
Persistent link: https://www.econbiz.de/10011772757
Saved in:
4
Empirical asset pricing : the cross section of stock returns
Bali, Turan G.
;
Engle, Robert F.
;
Murray, Scott
-
2016
Persistent link: https://www.econbiz.de/10011449277
Saved in:
5
Measuring risk aversion from exess returns on a stock index
Chou, Ray Yeutien
;
Engle, Robert F.
;
Kane, Alex
-
1991
Persistent link: https://www.econbiz.de/10000811503
Saved in:
6
Hedging options in GARCH environment : testing the term structure of stochastic volatility models
Engle, Robert F.
;
Rosenberg, Joshua V.
-
1994
Persistent link: https://www.econbiz.de/10000147446
Saved in:
7
Option hedging using empirical pricing kernels
Rosenberg, Joshua V.
;
Engle, Robert F.
-
1997
Persistent link: https://www.econbiz.de/10000643460
Saved in:
8
The intertemporal capital asset pricing model with dynamic conditional correlations
Bali, Turan G.
;
Engle, Robert F.
- In:
Journal of monetary economics
57
(
2010
)
4
,
pp. 377-390
Persistent link: https://www.econbiz.de/10008666431
Saved in:
9
Risk and volatility : econometric models and financial practice
Engle, Robert F.
- In:
The American economic review
94
(
2004
)
3
,
pp. 405-420
Persistent link: https://www.econbiz.de/10002168487
Saved in:
10
A capital asset pricing model with time-varying covariances
Bollerslev, Tim
- In:
Journal of political economy
96
(
1988
)
1
,
pp. 116-131
Persistent link: https://www.econbiz.de/10001056221
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