Time-Varying Betas Help in Asset Pricing: The Threshold CAPM
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
- Jean-Pierre Fouque & Adam Tashman, 2012. "Option pricing under a stressed-beta model," Annals of Finance, Springer, vol. 8(2), pages 183-203, May.
- Cai, Zongwu, 2007. "Trending time-varying coefficient time series models with serially correlated errors," Journal of Econometrics, Elsevier, vol. 136(1), pages 163-188, January.
- Yunmi Kim, 2012. "Autoregressive conditional beta," Economics Bulletin, AccessEcon, vol. 32(2), pages 1489-1494.
- Ho-Chuan (River) Huang & Pei-Shan Wu, 2005. "Tests of the CAPM with structural instability and asymmetry," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(5), pages 321-327, September.
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