Time-Varying Betas Help in Asset Pricing: The Threshold CAPM
Year of publication: |
2003
|
---|---|
Authors: | Akdeniz, Levent ; Altay-Salih, Aslihan ; Caner, Mehmet |
Published in: |
Studies in Nonlinear Dynamics & Econometrics. - Berkeley Electronic Press. - Vol. 6.2003, 4, p. 1101-1101
|
Publisher: |
Berkeley Electronic Press |
Subject: | interest rate | threshold regression | LM test | concentrated LS | bootstrap |
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