A large literature over several decades reveals both extensive concern with the question of time-varying betas and an emerging consensus that betas are in fact time-varying, leading to the prominence of the conditional CAPM. Set against that background, we assess the dynamics in realized betas,...

Recommended readings (Machine generated): 1.FischerBlack(1976),'StudiesofStockPriceVolatilityChanges',Proceedingsofthe1976MeetingsoftheAmericanStatisticalAssociation,BusinessandEconomicStatisticsSection,177-81 -- 2. Robert F. Engle (1982), 'Autoregressive Conditional Heteroscedasticity with...

Frontmatter -- Contents -- Preface -- Acknowledgments -- PART I: INTRODUCTION -- 1. Questions about Business Cycles -- PART II: BUSINESS CYCLE DURATIONS -- 2. Have Postwar Economic Fluctuations Been Stabilized? -- 3. Shorter Recessions and Longer Expansions -- 4. A Nonparametric Investigation of...