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  • Search: subject:"dynamic CAPM"
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Year of publication
Subject
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Asset pricing 1 Dynamic CAPM 1 Financial economics 1 Kalman filter 1 Static CAPM 1 Structural empirical review 1 VIX 1 VIX features 1 dynamic CAPM 1 zero beta 1
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Online availability
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Free 2
Type of publication
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Article 1 Book / Working Paper 1
Language
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Undetermined 2
Author
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Celik, Saban 1 Tindall, Michael 1 chen, jiaqi 1
Institution
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Federal Reserve Bank of Dallas 1
Published in...
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International Journal of Economics and Financial Issues 1 Occasional Papers 1
Source
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RePEc 2
Showing 1 - 2 of 2
Cover Image
Constructing Zero-Beta VIX Portfolios with Dynamic CAPM
chen, jiaqi; Tindall, Michael - Federal Reserve Bank of Dallas - 2014
the equity market. We find that the best results are obtained using Kalman filter-based dynamic CAPM. The portfolio …
Persistent link: https://www.econbiz.de/10010890129
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Cover Image
Theoretical and Empirical Review of Asset Pricing Models:A Structural Synthesis
Celik, Saban - In: International Journal of Economics and Financial Issues 2 (2012) 2, pp. 141-178
The purpose of this paper is to give a comprehensive theoretical review devoted to asset pricing models by emphasizing static and dynamic versions in the line with their empirical investigations. A considerable amount of financial economics literature devoted to the concept of asset pricing and...
Persistent link: https://www.econbiz.de/10010543306
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