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  • Search: subject:"time‐varying beta"
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Year of publication
Subject
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CAPM 45 Beta risk 38 Betafaktor 38 time-varying beta 29 Time-varying beta 26 Estimation 25 Schätzung 25 Capital income 21 Kapitaleinkommen 21 ARCH model 16 ARCH-Modell 16 Portfolio-Management 15 Portfolio selection 14 Stock market 14 Aktienmarkt 13 Börsenkurs 13 Share price 13 Theorie 13 Theory 12 GARCH 11 Financial crisis 10 Finanzkrise 10 Risk 10 Volatility 10 Volatilität 10 Estimation theory 9 Kalman filter 9 Risiko 9 Schätztheorie 9 Time series analysis 8 Zeitreihenanalyse 8 Asymmetric effect 7 BEKK 7 stochastic volatility 6 Multivariate GARCH 5 USA 5 Asset mispricing 4 Bayesian analysis 4 Cointegration 4 Conditional CAPM 4
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Online availability
All
Undetermined 35 Free 22
Type of publication
All
Article 62 Book / Working Paper 19
Type of publication (narrower categories)
All
Article in journal 40 Aufsatz in Zeitschrift 40 Working Paper 9 Arbeitspapier 5 Graue Literatur 5 Non-commercial literature 5 Article 2 research-article 2 Thesis 1
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Language
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English 56 Undetermined 24 Portuguese 1
Author
All
Choudhry, Taufiq 6 Jayasekera, Ranadeva 6 Savona, Roberto 6 Mergner, Sascha 4 Amisano, Gianni 3 Antypas, Antonios 3 Caporale, Guglielmo Maria 3 Fonseca, José Soares da 3 Grassi, Stefano 3 Kourogenis, Nikolaos 3 Pittis, Nikitas 3 Violante, Francesco 3 Adam, Tomáš 2 Ang, Andrew 2 Anton, Sorin Gabriel 2 Bellalah, Makram 2 Ben Slimane, Ikrame 2 Bulla, Jan 2 Candido, Osvaldo 2 Chen, Ming-Chi 2 French, Jordan 2 GLOVA, Jozef 2 Jánský, Ivo 2 Kristensen, Dennis 2 Maldonado, Wilfredo Fernando Leiva 2 Morri, Giacomo 2 Ochem, Marie 2 Puah, Chin-Hong 2 Reiß, Markus 2 Rjiba, Hatem 2 Romito, Federico 2 Sing, Tien Foo 2 Todorov, Viktor 2 Yong, Ying-Kiu 2 de Pinho Ronzani, André Ricardo 2 Adam, Tomas 1 Aiube, Fernando Antônio Lucena 1 Alonso-Conde, Ana Belén 1 Baídya, Tara Keshar Nanda 1 Bekiros, Stelios 1
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Institution
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EconWPA 2 Departamento de Economía Aplicada III (Econometría y Estadística), Facultad de Ciencias Económicas y Empresariales 1 European Central Bank 1 Finance Discipline Group, Business School 1 Institut ekonomických studií, Univerzita Karlova v Praze 1 International Centre for Economic Research (ICER) 1 Stockholm China Economic Research Institute, Handelshögskolan i Stockholm 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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Published in...
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Finance 2 International Journal of Financial Studies 2 International Journal of Financial Studies : open access journal 2 International journal of economic policy in emerging economies 2 International review of financial analysis 2 Journal of Applied Economic Sciences Quarterly 2 Journal of empirical finance 2 Research in international business and finance 2 The European Journal of Finance 2 Applied economics 1 Applied financial economics 1 BILTOKI 1 CEIS Tor Vergata research papers : CEIS Tor Vergata research paper series 1 CESifo Working Paper 1 CESifo working papers 1 CREATES research paper 1 Computational economics 1 Czech Journal of Economics and Finance (Finance a uver) 1 ECB Working Paper 1 Economic modelling 1 Economic research 1 Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets 1 Empirical economics : a quarterly journal of the Institute for Advanced Studies 1 European Journal of Operational Research 1 European journal of operational research : EJOR 1 ICER Working Papers - Applied Mathematics Series 1 IES Working Paper 1 IIMB management review 1 International Economics and Economic Policy 1 International Journal of Economic Policy in Emerging Economies 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 International Review of Financial Analysis 1 International economics and economic policy : IEEP 1 International journal of finance & economics : IJFE 1 International journal of monetary economics and finance 1 International journal of strategic property management 1 Journal of Applied Management and Investments 1 Journal of Chinese Economic and Business Studies 1 Journal of Financial Economics 1 Journal of International Money and Finance 1
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Source
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ECONIS (ZBW) 45 RePEc 27 EconStor 6 Other ZBW resources 2 BASE 1
Showing 1 - 10 of 81
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Mispricing in linear asset pricing models
Kang, Qiang - In: Applied economics 57 (2025) 11, pp. 1196-1220
Persistent link: https://www.econbiz.de/10015331607
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Estimation of Conditional Asset Pricing Models with Integrated Variables in the Beta Specification
Antypas, Antonios; Caporale, Guglielmo Maria; … - 2019
We introduce a methodology which deals with possibly integrated variables in the specification of the betas of conditional asset pricing models. In such a case, any model which is directly derived by a polynomial approximation of the functional form of the conditional beta will inherit a...
Persistent link: https://www.econbiz.de/10012179768
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Cover Image
Estimation of conditional asset pricing models with integrated variables in the beta specification
Antypas, Antonios; Caporale, Guglielmo Maria; … - 2019
We introduce a methodology which deals with possibly integrated variables in the specification of the betas of conditional asset pricing models. In such a case, any model which is directly derived by a polynomial approximation of the functional form of the conditional beta will inherit a...
Persistent link: https://www.econbiz.de/10012138849
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Liquidity, time-varying betas and anomalies : is the high trading activity enhancing the validity of the CAPM in the UK equity market?
Rojo-Suárez, Javier; Alonso-Conde, Ana Belén; … - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 45-60
Persistent link: https://www.econbiz.de/10012814339
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Does systematic risk change when markets close? : an analysis using stocks' beta
Insana, Alessandra - In: Economic modelling 109 (2022), pp. 1-17
Persistent link: https://www.econbiz.de/10013348240
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Forecasting performance of different betas : Mexican stocks before and during the COVID-19 pandemic
López Herrera, Francisco; González Maiz Jiménez, Jaime; … - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 13, pp. 3868-3880
Persistent link: https://www.econbiz.de/10013462450
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Betas in the time of corona : a conditional CAPM approach using multivariate GARCH model for India
Jain, Sonali - In: Managerial finance 48 (2022) 2, pp. 243-257
Persistent link: https://www.econbiz.de/10013173288
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Asset pricing using block-cholesky GARCH and time-varying betas
Grassi, Stefano; Violante, Francesco - 2021
Persistent link: https://www.econbiz.de/10012620745
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Asset pricing using Block-Cholesky GARCH and time-varying betas
Grassi, Stefano; Violante, Francesco - 2021
Persistent link: https://www.econbiz.de/10012487978
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Asset pricing using Block-Cholesky GARCH and time-varying betas
Grassi, Stefano; Violante, Francesco - 2021
Persistent link: https://www.econbiz.de/10012543884
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