Association between Markov regime-switching market volatility and beta risk: Evidence from Dow Jones industrial securities
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- Don U.A. Galagedera & Roland Shami, 2003. "Association between Markov regime-switching market volatility and beta risk: Evidence from Dow Jones industrial securities," Monash Econometrics and Business Statistics Working Papers 20/03, Monash University, Department of Econometrics and Business Statistics.
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More about this item
KeywordsAsset pricing; Markov regime-switching; market volatility; beta risk;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-06-27 (All new papers)
- NEP-ETS-2004-06-27 (Econometric Time Series)
- NEP-FIN-2004-06-27 (Finance)
- NEP-RMG-2004-06-27 (Risk Management)
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