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  • Search: subject:"conditional beta"
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Year of publication
Subject
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CAPM 2 Conditional Beta 2 Conditional Covariance 2 Forecasting 2 HEAVY 2 ICAPM 2 Marginal Expected Shortfall 2 Portfolio selection 2 Portfolio-Management 2 Realized Covariance 2 Realized Kernel 2 Systematic Risk 2 Volatility 2 Volatilität 2 and expected stock returns 2 asset pricing 2 conditional CAPM 2 conditional beta 2 conditional factor models 2 idiosyncratic risk 2 latent variables 2 turnover 2 ARCH model 1 ARCH-Modell 1 Aktienmarkt 1 Analysis of variance 1 Beta risk 1 Betafaktor 1 Börsenkurs 1 Capital income 1 Correlation 1 Dynamic conditional beta 1 Facteurs d'actualisation stochastiques 1 Financial economics 1 Financial market 1 Finanzmarkt 1 Forecasting model 1 Kapitaleinkommen 1 Kapitalmarkttheorie 1 Korrelation 1
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Online availability
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Free 8
Type of publication
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Book / Working Paper 8
Type of publication (narrower categories)
All
Working Paper 3 Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2
Language
All
Undetermined 4 English 3 French 1
Author
All
Bali, Turan G. 2 Cotter, John 2 Engle, Robert F. 2 O'Sullivan, Niall 2 Rossi, Francesco 2 Sheppard, Kevin 2 Tang, Yi 2 GARCIA, René 1 Garcia, René 1 RENAULT, Éric 1 Renault, Éric 1 Xu, Wen 1
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Institution
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1 Department of Economics, Oxford University 1 Département de Sciences Économiques, Université de Montréal 1 Geary Institute, University College Dublin 1 İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi 1
Published in...
All
CIRANO Working Papers 1 Cahiers de recherche 1 Department of Economics discussion paper series / University of Oxford 1 Economics Series Working Papers / Department of Economics, Oxford University 1 Koç University-TUSIAD Economic Research Forum Working Papers 1 UCD Geary Institute discussion paper series 1 Working Paper 1 Working Papers / Geary Institute, University College Dublin 1
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Source
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RePEc 5 ECONIS (ZBW) 2 EconStor 1
Showing 1 - 8 of 8
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Factor High-Frequency Based Volatility (HEAVY) Models
Sheppard, Kevin - Department of Economics, Oxford University - 2014
 We propose a new class of multivariate volatility models utilizing realized measures of asset volatility and covolatility extracted from high-frequency data. Dimension reduction for estimation of large covariance matrices is achieved by imposing a factor structure with time-varying conditional...
Persistent link: https://www.econbiz.de/10011004389
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The Conditional Pricing of Systematic and Idiosyncratic Risk in the UK Equity Market
Cotter, John; O'Sullivan, Niall; Rossi, Francesco - Geary Institute, University College Dublin - 2014
conditional beta/return relationship which in turn reveals conditionality in the pricing of idiosyncratic risk. We find that …
Persistent link: https://www.econbiz.de/10010748283
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Factor high-frequency based volatility (HEAVY) models
Sheppard, Kevin; Xu, Wen - 2014
Persistent link: https://www.econbiz.de/10010365630
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The conditional pricing of systematic and idiosyncratic risk in the UK equity market
Cotter, John; O'Sullivan, Niall; Rossi, Francesco - 2014
Persistent link: https://www.econbiz.de/10010343568
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Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns
Bali, Turan G.; Engle, Robert F.; Tang, Yi - 2013
This paper investigates the significance of dynamic conditional beta in predicting the cross-sectional variation in … expected stock returns. The results indicate that the time-varying conditional beta is alive and well in the cross-section of … relation between dynamic conditional beta and future returns on individual stocks. An investment strategy that goes long stocks …
Persistent link: https://www.econbiz.de/10010500239
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Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns
Bali, Turan G.; Engle, Robert F.; Tang, Yi - İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi - 2013
This paper investigates the significance of dynamic conditional beta in predicting the cross-sectional variation in … expected stock returns. The results indicate that the time-varying conditional beta is alive and well in the cross-section of … relation between dynamic conditional beta and future returns on individual stocks. An investment strategy that goes long stocks …
Persistent link: https://www.econbiz.de/10010610574
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Latent Variable Models for Stochastic Discount Factors.
GARCIA, René; RENAULT, Éric - Département de Sciences Économiques, Université de … - 2000
Latent variable models in finance originate both from asset pricing theory and time series analysis. These two strands of literature appeal to two different concepts of latent structures, which are both useful to reduce the dimension of a statistical model specified for a multivariate time...
Persistent link: https://www.econbiz.de/10005729805
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Latent Variable Models for Stochastic Discount Factors
Garcia, René; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 1999
Latent variable models in finance originate both from asset pricing theory and time series analysis. These two strands of literature appeal to two different concepts of latent structures, which are both useful to reduce the dimension of a statistical model specified for a multivariate time...
Persistent link: https://www.econbiz.de/10005101123
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