We mathematically show that, no matter how many factors are added to the capital asset pricing model (CAPM), beta will always matter. We also show that adding more factors to a single-factor CAPM requires market risk premiums to be modeled as time varying. In addition to allowing time-varying...

We investigate the regime-dependent and time-varying behavior of inflation expectations and the uncertainties of expectations in Turkey through threshold regressions, and lag-augmented vector autoregression (LA-VAR) based time-varying Granger causality tests. Results suggest state-dependent...

We mathematically show that no matter how many factors are augmented to Capital Asset Pricing Model (CAPM), beta will always matter. We also show that augmenting additional factors to single-factor CAPM requires market risk premia to be modeled as time-varying. In addition to allowing a...

We analyze state-dependent and asymmetric behavior of emerging market (EM) sovereign bond spreads in response to changes in global risk appetite and liquidity. We use dynamic Markov-switching, fixed-effect panel threshold, and time-varying causality analyses along with our research setting....