Investment horizon dependent CAPM: Adjusting beta for long-term dependence
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- Carlos León & Karen Leiton & Alejandro Reveiz, 2012. "Investment Horizon Dependent CAPM: Adjusting beta for long-term dependence," BORRADORES DE ECONOMIA 009909, BANCO DE LA REPÚBLICA.
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- Carlos León, 2012.
"Implied probabilities of default from Colombian money market spreads: The Merton Model under equity market informational constraints,"
BORRADORES DE ECONOMIA
010075, BANCO DE LA REPÚBLICA.
- Carlos León, 2012. "Implied probabilities of default from Colombian money market spreads: The Merton Model under equity market informational constraints," Borradores de Economia 743, Banco de la Republica de Colombia.
- León, Carlos & Leiton, Karen & Pérez, Jhonatan, 2014.
"Extracting the sovereigns’ CDS market hierarchy: A correlation-filtering approach,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 415(C), pages 407-420.
- Carlos Eduardo León Rincón & Karen Julieth Leiton & Jhonatan Perez Villalobos, 2013. "Extracting the sovereigns’ CDS market hierarchy: a correlation-filtering approach," Borradores de Economia 766, Banco de la Republica de Colombia.
- Carlos Eduardo Léon Rincón & Karen Juliet Leiton & Jhonatan Pérez Villalobos, 2013. "Extracting the sovereigns´ CDS market hierarchy: a correlation-filtering approach," BORRADORES DE ECONOMIA 010749, BANCO DE LA REPÚBLICA.
More about this item
KeywordsCAPM; Hurst exponent; long-term dependence; fractional Brownian motion; asset allocation; investment horizon. Classification JEL: G12; G14; G32; G20; C14;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- G20 - Financial Economics - - Financial Institutions and Services - - - General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-09-03 (All new papers)
- NEP-CFN-2012-09-03 (Corporate Finance)
- NEP-ECM-2012-09-03 (Econometrics)
- NEP-FMK-2012-09-03 (Financial Markets)
- NEP-RMG-2012-09-03 (Risk Management)
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