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A dynamic asset pricing model with time-varying factor and idiosyncratic risk

Glabadanidis, Paskalis - In: Journal of financial econometrics : official journal of … 7 (2009) 3, pp. 247-264

Persistent link: https://www.econbiz.de/10003884186

Evaluation of Malaysian mutual funds in the maximum drawdown risk measure framework

Tavakoli Baghdadabad, Mohammad Reza; Glabadanidis, Paskalis - In: International journal of managerial finance : IJMF 9 (2013) 3, pp. 247-270

Persistent link: https://www.econbiz.de/10009764936

Average drawdown risk and capital asset pricing

Tavakoli Baghdadabad, Mohammad Reza; Glabadanidis, Paskalis - In: Review of Pacific Basin financial markets and policies 16 (2013) 4, pp. 1-21

Persistent link: https://www.econbiz.de/10010241626

A Dynamic Asset Pricing Model with Time-Varying Factor and Idiosyncratic Risk

Glabadanidis, Paskalis - 2017

This paper uses a multivariate GARCH model to account for time variation in factor loadings and idiosyncratic risk in improving the performance of the CAPM and the three-factor Fama-French model. I show how to incorporate time variation in betas and the second moments of the residuals in a very...

Persistent link: https://www.econbiz.de/10012976825