Similar Search Results

Time-varying market price of risk and investor sentiment : evidence from a multivariate GARCH model

Johnk, David W.; Soydemir, Gökçe A. - In: The journal of behavioral finance : a publication of … 16 (2015) 2, pp. 105-119

Persistent link: https://www.econbiz.de/10011333691

Estimation of conditional asset pricing models with integrated variables in the beta specification

Antypas, Antonios; Caporale, Guglielmo Maria; … - In: Research in international business and finance 52 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012548351

Betas in the time of corona : a conditional CAPM approach using multivariate GARCH model for India

Jain, Sonali - In: Managerial finance 48 (2022) 2, pp. 243-257

Persistent link: https://www.econbiz.de/10013173288

The conditional capital asset pricing model revisited : evidence from high-frequency betas

Hollstein, Fabian; Prokopczuk, Marcel; Wese Simen, Chardin - In: Management science : journal of the Institute for … 66 (2020) 6, pp. 2474-2494

Persistent link: https://www.econbiz.de/10012254406

Does the equity premium puzzle persist during financial crisis? : the case of the French equity market

Bellelah, M. A.; Bellelah, M. O.; Ben Ameur, Hachmi; … - In: Research in international business and finance 39 (2017), pp. 851-866

Persistent link: https://www.econbiz.de/10011912395

Estimation of conditional asset pricing models with integrated variables in the beta specification

Antypas, Antonios; Caporale, Guglielmo Maria; … - 2019

We introduce a methodology which deals with possibly integrated variables in the specification of the betas of conditional asset pricing models. In such a case, any model which is directly derived by a polynomial approximation of the functional form of the conditional beta will inherit a...

Persistent link: https://www.econbiz.de/10012138849

Does systematic risk change when markets close? : an analysis using stocks' beta

Insana, Alessandra - In: Economic modelling 109 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013348240

A dynamic conditional regime-switching GARCH CAPM for energy and financial markets

Urom, Christian; Chevallier, Julien; Zhu, Bangzhu - In: Energy economics 85 (2020), pp. 1-45

Persistent link: https://www.econbiz.de/10012510103