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  • Search: subject:"Conditional Capital Asset Pricing Model"
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Year of publication
Subject
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Conditional capital asset pricing model 5 CAPM 4 Conditional volatility 3 Estimation 3 Greece 3 Intervalling effect 3 Market model 3 Schätzung 3 Stock exchanges 3 Systematic risk 3 Capital income 2 Kalman filter 2 Kapitaleinkommen 2 Markov switching (MS) model 2 West African Regional Market (BRVM) 2 conditional capital asset pricing model 2 conditional capital asset pricing model (CAPM) 2 ASEAN countries 1 ASEAN markets 1 ASEAN-Staaten 1 Aktienmarkt 1 Athens Stock Exchange 1 Beta risk 1 Betafaktor 1 Capital market returns 1 Conditional Capital Asset Pricing Model 1 Conditional Volatility 1 Estimation theory 1 Functional coefficient regression 1 Intervalling Effect 1 Kapitalmarktrendite 1 Market Model 1 Markov chain 1 Markov-Kette 1 Nichtparametrisches Verfahren 1 Nonparametric statistics 1 Portfolio selection 1 Portfolio-Management 1 Regression analysis 1 Regressionsanalyse 1
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Online availability
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Undetermined 5 Free 3
Type of publication
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Article 8 Book / Working Paper 2
Type of publication (narrower categories)
All
Article in journal 4 Aufsatz in Zeitschrift 4 Article 1 research-article 1
Language
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English 6 Undetermined 4
Author
All
Milionis, Alexandros 3 Assani, Smael Afolabi 2 Cisse, Mamadou 2 Konte, Mamadou 2 Toure, Mohamed 2 Aumeboonsuke, Vesarach 1 Bali, Turan G. 1 Cai, Zongwu 1 Engle, Robert F. 1 Milionis, Alexandros E. 1 Patsouri, Dimitra K. 1 Ren, Yu 1 Tang, Yi 1 Vitek, Francis 1 Yang, Bingduo 1
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Institution
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Bank of Greece 1 EconWPA 1
Published in...
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Journal of Risk Finance 2 Finance 1 Investment management and financial innovations 1 Journal of Risk and Financial Management 1 Journal of banking & finance 1 Journal of risk and financial management : JRFM 1 Management science : journal of the Institute for Operations Research and the Management Sciences 1 The Journal of Risk Finance 1 Working Papers / Bank of Greece 1
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Source
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ECONIS (ZBW) 4 RePEc 4 EconStor 1 Other ZBW resources 1
Showing 1 - 10 of 10
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Contribution to the valuation of BRVM's assets: A conditional CAPM approach
Cisse, Mamadou; Konte, Mamadou; Toure, Mohamed; Assani, … - In: Journal of Risk and Financial Management 12 (2019) 1, pp. 1-15
The conditional capital asset pricing model (CAPM) theory postulates that the systematic risk ( Ø ) of an asset or …
Persistent link: https://www.econbiz.de/10012611171
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Cover Image
Contribution to the valuation of BRVM's assets : a conditional CAPM approach
Cisse, Mamadou; Konte, Mamadou; Toure, Mohamed; Assani, … - In: Journal of risk and financial management : JRFM 12 (2019) 1/27, pp. 1-15
The conditional capital asset pricing model (CAPM) theory postulates that the systematic risk ( β ) of an asset or …
Persistent link: https://www.econbiz.de/10012022339
Saved in:
Cover Image
Dynamic conditional beta is alive and well in the cross section of daily stock returns
Bali, Turan G.; Engle, Robert F.; Tang, Yi - In: Management science : journal of the Institute for … 63 (2017) 11, pp. 3760-3779
Persistent link: https://www.econbiz.de/10011772757
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A conditional CAPM; implications for the estimation of systematic risk
Milionis, Alexandros E.; Patsouri, Dimitra K. - Bank of Greece - 2011
The purpose of this paper is to examine: (i) whether or not, the residuals of the Market Model are conditionally heteroscedastic; (ii) whether or not, there exists an intervalling effect in conditional heteroscedasticity in the residuals of the Market Model; (iii) the effect of conditional...
Persistent link: https://www.econbiz.de/10010613020
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A semiparametric conditional capital asset pricing model
Cai, Zongwu; Ren, Yu; Yang, Bingduo - In: Journal of banking & finance 61 (2015), pp. 117-126
Persistent link: https://www.econbiz.de/10011545159
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The vitality of beta in the ASEAN stock markets
Aumeboonsuke, Vesarach - In: Investment management and financial innovations 11 (2014) 3, pp. 81-86
Persistent link: https://www.econbiz.de/10010512180
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A conditional CAPM: implications for systematic risk estimation
Milionis, Alexandros - In: The Journal of Risk Finance 12 (2011) 4, pp. 306-314
the residuals of the MM; to propose a simple data‐driven conditional capital asset pricing model (CAPM); and to examine …
Persistent link: https://www.econbiz.de/10014901580
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A conditional CAPM: implications for systematic risk estimation
Milionis, Alexandros - In: Journal of Risk Finance 11 (2011) August, pp. 306-314
the residuals of the MM; to propose a simple data-driven conditional capital asset pricing model (CAPM); and to examine …
Persistent link: https://www.econbiz.de/10010610659
Saved in:
Cover Image
A conditional CAPM: implications for systematic risk estimation
Milionis, Alexandros - In: Journal of Risk Finance 12 (2011) August, pp. 306-314
the residuals of the MM; to propose a simple data-driven conditional capital asset pricing model (CAPM); and to examine …
Persistent link: https://www.econbiz.de/10010720094
Saved in:
Cover Image
On Risk Premia and Volatility Transmission Across the Stock and Bond Markets
Vitek, Francis - EconWPA - 2005
beta representation of the conditional capital asset pricing model. Time variation in the market price of risk is …
Persistent link: https://www.econbiz.de/10005561743
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