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Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas
Grassi, Stefano; Violante, Francesco - 2021
Starting from the Cholesky-GARCH model, recently proposed by Darolles, Francq, and Laurent (2018), the paper introduces the Block-Cholesky GARCH (BC-GARCH). This new model adapts in a natural way to the asset pricing framework. After deriving conditions for stationarity, uniform invertibility...
Persistent link: https://www.econbiz.de/10013239060
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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
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Systematic risk and volatility skew
Tzang, Shyh-Weir; Wang, Chou-Wen; Yu, Min-Teh - In: International review of economics & finance : IREF 43 (2016), pp. 72-87
Persistent link: https://www.econbiz.de/10011625535
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Asymmetric jump beta estimation with implications for portfolio risk management
Alexeev, Vitali; Urga, Giovanni; Yao, Wenying - In: International review of economics & finance : IREF 62 (2019), pp. 20-40
Persistent link: https://www.econbiz.de/10012205461
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On asymmetric market model with heteroskedasticity and quantile regression
Chen, Cathy W. S.; Li, Muyi; Nguyen, Nga T. H.; Songsak … - In: Computational economics 49 (2017) 1, pp. 155-174
Persistent link: https://www.econbiz.de/10011751821
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Asset pricing using Block-Cholesky GARCH and time-varying betas
Grassi, Stefano; Violante, Francesco - 2021
Persistent link: https://www.econbiz.de/10012543884
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Return prediction with time varying betas : a research in BIST
Akyatan, Ayca; Çetin, M. Koray - In: International journal of accounting and finance 10 (2020) 1, pp. 64-86
Persistent link: https://www.econbiz.de/10012504722
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Asset pricing using Block-Cholesky GARCH and time-varying betas
Grassi, Stefano; Violante, Francesco - 2021
Persistent link: https://www.econbiz.de/10012487978
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High Dimensional Beta Test with High Frequency Data
Chen, Dachuan; Feng, Long; Mykland, Per A.; Zhang, Lan - 2022
the number of regressors can be larger than the number of observations within each estimation block and can also grow to …
Persistent link: https://www.econbiz.de/10013405238
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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