Time-Varying Betas Help in Asset Pricing: The Threshold CAPM
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DOI: 10.2202/1558-3708.1101
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- Cathy Chen & Simon Lin & Philip Yu, 2012. "Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity," Computational Economics, Springer;Society for Computational Economics, vol. 40(1), pages 19-48, June.
- Hong, Jiawei & Yu, Xiaojian & Xiao, Weilin & Zhang, Xili, 2022. "The dispersion of beta estimates and the investors’ heterogeneous Beliefs:Evidence from the stock market in China," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 540-550.
- Paulo Rogerio Faustino Matos & Fabrício Carneiro Linhares & Gustavo Zech Sylvestre, 2012. "Analysis of the non-linear effect of net equity in the pricing of stock investment funds," Brazilian Business Review, Fucape Business School, vol. 9(4), pages 1-26, October.
- Yunmi Kim, 2012. "Autoregressive conditional beta," Economics Bulletin, AccessEcon, vol. 32(2), pages 1489-1494.
- Gómez-González, José Eduardo & Sanabria-Buenaventura, Elioth Mirsha, 2014.
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- José Eduardo Gómez-González & Elioth Mirsha Sanabria-Buenaventura, 2012. "Non-Parametric and Semi-Parametric Asset Pricing: An Application to the Colombian Stock Exchange," Borradores de Economia 697, Banco de la Republica de Colombia.
- José Eduardo Gómez-González & Elioth Mirsha Sanabria-Buenaventura, 2012. "Non-Parametric and Semi-Parametric Asset Pricing: An Application to the Colombian Stock Exchange," Borradores de Economia 9384, Banco de la Republica.
- Erdos, Péter & Ormos, Mihály & Zibriczky, Dávid, 2011.
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- Peter Erdos & Mihaly Ormos & David Zibriczky, 2017. "Non-parametric and semi-parametric asset pricing," Papers 1703.09500, arXiv.org.
- Cai, Zongwu & Ren, Yu & Yang, Bingduo, 2015. "A semiparametric conditional capital asset pricing model," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 117-126.
- Valentina ZOZULYA & Evgeny SOKOLOV & Evgeny KOSTYRIN & Sergey KOROLEV, 2021. "The effectiveness of applying beta-coefficient modifications when calculating returns on shares in Russian companies," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 12, pages 31-52, June.
- Zongwu Cai, 2013. "Functional Coefficient Models for Economic and Financial Data," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Cathy W. S. Chen & Muyi Li & Nga T. H. Nguyen & Songsak Sriboonchitta, 2017. "On Asymmetric Market Model with Heteroskedasticity and Quantile Regression," Computational Economics, Springer;Society for Computational Economics, vol. 49(1), pages 155-174, January.
- Xiangjin B. Chen & Jiti Gao & Degui Li & Param Silvapulle, 2013. "Nonparametric Estimation and Parametric Calibration of Time-Varying Coefficient Realized Volatility Models," Monash Econometrics and Business Statistics Working Papers 21/13, Monash University, Department of Econometrics and Business Statistics.
- Zongwu Cai & Yongmiao Hong, 2013. "Some Recent Developments in Nonparametric Finance," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Martin Vance L. & Sarkar Saikat & Kanto Antti Jaakko, 2014. "Modelling nonlinearities in equity returns: the mean impact curve analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(1), pages 51-72, February.
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- Zhao, Yan-Yong & Lin, Jin-Guan, 2019. "Estimation and test of jump discontinuities in varying coefficient models with empirical applications," Computational Statistics & Data Analysis, Elsevier, vol. 139(C), pages 145-163.
- Jean-Pierre Fouque & Adam Tashman, 2012. "Option pricing under a stressed-beta model," Annals of Finance, Springer, vol. 8(2), pages 183-203, May.
- Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme, 2017.
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- Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme, 2015. "Sharp Threshold Detection Based on Sup-norm Error rates in High-dimensional Models," CREATES Research Papers 2015-10, Department of Economics and Business Economics, Aarhus University.
- Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme, 2015. "Sharp Threshold Detection based on Sup-Norm Error Rates in High-dimensional Models," Tinbergen Institute Discussion Papers 15-019/III, Tinbergen Institute.
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