larger market betas when market returns are low (i.e., “beta in the tails”). We justify this finding through a combination of …

, however, I find that this assumption is indeed rejected. The beta remains stable while the alpha and the idiosyncratic …

the dynamic evolution of market betas.We call this the dynamic realized beta (DR Beta).We first develop a non …-parametric realized integrated beta estimator using high-frequency financial data contaminated by microstructure noises, which is robust … to the stylized features, such as the time-varying beta and the dependence structure of microstructure noises, and …

This paper examines the long‑term dependence between the Polish and German stock markets in terms of industry beta risk … estimates according to the Capital Asset Pricing Model (CAPM). The main objective of this research is to compare the Polish and … German beta parameters of five Polish and three German sector indices using the Bayesian methodology in the period 2001 …

shape (CARS) model with beta density to predict the direction of stock returns. The CARS model is continuously valued, which …