Estimation of conditional asset pricing models with integrated variables in the beta specification
Antonios Antypas, Guglielmo Maria Caporale, Nikolaos Kourogenis, Nikitas Pittis
| Year of publication: |
2020
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|---|---|
| Authors: | Antypas, Antonios ; Caporale, Guglielmo Maria ; Kourogenis, Nikolaos ; Pittis, Nikitas |
| Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 52.2020, p. 1-8
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| Subject: | Cointegration | Conditional CAPM | Morningstar star-rating system | Time-varying beta | CAPM | Betafaktor | Beta risk | Schätztheorie | Estimation theory | Schätzung | Estimation | Kointegration |
| Description of contents: | Description [doi.org] |