Akdeniz, Levent; Altay-Salih, Aslihan; Caner, Mehmet - In: Studies in Nonlinear Dynamics & Econometrics 6 (2003) 4
Although there is a consensus about time variation in market betas, it is not clear how this variation should be captured. Several researchers continue to analyze different versions of the conditional CAPM. However, Ghysels (1998) shows that these conditional CAPM models fail to capture the...
