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ARCH model
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Wettbewerbspolitik und Regulierung in einer Globalen Wirtschaftsordnung <Veranstaltung> <2013, Düsseldorf>
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William Davidson Institute <Ann Arbor, Mich.>
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Finance research letters
64
International review of financial analysis
57
Energy economics
51
International review of economics & finance : IREF
51
Journal of international financial markets, institutions & money
50
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49
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36
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Applied economics letters
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International journal of finance & economics : IJFE
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The European journal of finance
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Review of quantitative finance and accounting
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International journal of economics and financial issues : IJEFI
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Emerging markets review
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Cogent economics & finance
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Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets
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Theoretical economics letters
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ECONIS (ZBW)
2,338
RePEc
1
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1
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date (oldest first)
1
Contagion and downside risk in the REIT market during the subprime mortgage crisis
Chen, Ming-Chi
;
Tsai, Hsiu-Jung
;
Sing, Tien-foo
;
Yang, …
- In:
International journal of strategic property management
19
(
2015
)
1
,
pp. 42-57
Persistent link: https://www.econbiz.de/10011302960
Saved in:
2
Testing the
CAPM
for the Brazilian stock market using multivariate GARCH between 1995 and 2012
Godeiro, Lucas Lúcio
;
Silva, Cesar R. da
;
Rodrigues, …
- In:
Journal of finance and investment analysis
2
(
2013
)
2
,
pp. 15-39
The paper tests the
CAPM
for the Brazilian stock market using dynamic betas. The sample involves 28 stocks included in …
Persistent link: https://www.econbiz.de/10009746028
Saved in:
3
Testing the
CAPM
for the Brazilian stock market : a study of dynamic beta using multivariate GARCH
Godeiro, Lucas Lúcio
- In:
International journal of economics and finance
5
(
2013
)
3
,
pp. 164-182
Persistent link: https://www.econbiz.de/10009719640
Saved in:
4
Integration versus segmentation in China's stock market : an analysis of time-varying beta risks
Li, Hong
- In:
Journal of international financial markets, …
25
(
2013
),
pp. 88-105
Persistent link: https://www.econbiz.de/10009762803
Saved in:
5
Time-varying betas in Central and Eastern European markets: a bivariate BEKK GARCH approach
Anton, Sorin Gabriel
;
Ochem, Marie
- In:
International journal of economic policy in emerging …
6
(
2013
)
2
,
pp. 107-121
Persistent link: https://www.econbiz.de/10009790510
Saved in:
6
Back to the future betas : empirical asset pricing of US and Southeast Asian markets
French, Jordan
- In:
International Journal of Financial Studies : open …
4
(
2016
)
3
,
pp. 1-13
. The crux of the traditional Capital Asset Pricing Model (
CAPM
) methodology is using historical data in the calculation of …
Persistent link: https://www.econbiz.de/10011526799
Saved in:
7
Multivariate time-varying parameter modelling for stock markets
Neslihanoglu, Serdar
;
Bekiros, Stelios
;
McColl, John H.
; …
- In:
Empirical economics : a quarterly journal of the …
61
(
2021
)
2
,
pp. 947-972
Persistent link: https://www.econbiz.de/10012616913
Saved in:
8
Time-varying beta, market volatility and stress : a comparison between the United States and India
Chakrabarti, Gagari
- In:
IIMB management review
33
(
2021
)
1
,
pp. 50-63
Persistent link: https://www.econbiz.de/10013205186
Saved in:
9
Realized volatility, jump and beta : evidence from Canadian stock market
Gajurel, Dinesh
;
Chowdhury, Biplob
- In:
Applied economics
53
(
2021
)
55
,
pp. 6376-6397
Persistent link: https://www.econbiz.de/10012697913
Saved in:
10
Beta and size revisited : evidence from the French stock market
Xiao, Bing
- In:
International journal of financial research
7
(
2016
)
5
,
pp. 42-50
Persistent link: https://www.econbiz.de/10011579740
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