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Dynamic conditional beta

Engle, Robert F. - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 643-667

Persistent link: https://www.econbiz.de/10011623818

Measuring risk aversion from exess returns on a stock index

Chou, Ray Yeutien; Engle, Robert F.; Kane, Alex - 1991

Persistent link: https://www.econbiz.de/10000811503

Hedging options in a GARCH environment : testing the term structure of stochastic volatility models

Engle, Robert F.; Rosenberg, Joshua V. - 1994

Persistent link: https://www.econbiz.de/10000904203

Asset pricing with a factor-ARCH covariance structure : empirical estimates for treasury bills

Engle, Robert F. - In: Journal of econometrics 45 (1990) 1, pp. 213-237

Persistent link: https://www.econbiz.de/10001332074

A capital asset pricing model with time-varying covariances

Bollerslev, Tim - In: Journal of political economy 96 (1988) 1, pp. 116-131

Persistent link: https://www.econbiz.de/10001056221

Hedging options in GARCH environment : testing the term structure of stochastic volatility models

Engle, Robert F.; Rosenberg, Joshua V. - 1994

Persistent link: https://www.econbiz.de/10000147446

Option hedging using empirical pricing kernels

Rosenberg, Joshua V.; Engle, Robert F. - 1997

Persistent link: https://www.econbiz.de/10000643460

ARCH models in finance

Engle, Robert F. (contributor) - In: Journal of econometrics 52 (1992) 1, pp. 1-311

Persistent link: https://www.econbiz.de/10001121076

Risk and volatility : econometric models and financial practice

Engle, Robert F. - In: The American economic review 94 (2004) 3, pp. 405-420

Persistent link: https://www.econbiz.de/10002168487

The Conditional CAPM Explains the Value Premium

Bali, Turan G. - 2014

This paper proposes alternative specifications of the conditional CAPM with dynamic conditional beta and tests the models' performance in explaining the value premium for the period 1963-2011. The conditional alphas on the value-minus-growth portfolio are estimated to be economically and...

Persistent link: https://www.econbiz.de/10013065048