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Estimating Systematic Risk Using Time Varying Distributions

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Author Info
Gregory Koutmos
Johan Knif
Abstract

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/1468-036X.00176
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Article provided by Blackwell Publishing Ltd in its journal European Financial Management.

Volume (Year): 8 (2002)
Issue (Month): 1 ()
Pages: 59-73
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Handle: RePEc:bla:eufman:v:8:y:2002:i:1:p:59-73

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  1. Fernandez, Pablo, 2004. "Are calculated betas good for anything?," IESE Research Papers D/555, IESE Business School. [Downloadable!]
  2. Kai-Li Wang & Mei-Ling Chen, 2007. "The dynamics in the spot, futures, and call options with basis asymmetries: an intraday analysis in a generalized multivariate GARCH-M MSKST framework," Review of Quantitative Finance and Accounting, Springer, vol. 29(4), pages 371-394, November. [Downloadable!] (restricted)
  3. Uluc Aysun & Melanie Guldi, 2009. "Exchange rate exposure: A nonparametric approach," Working papers 2009-18, University of Connecticut, Department of Economics. [Downloadable!]
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