Measuring Systematic Risk Using Implicit Beta

DOI10.1287/MNSC.41.1.124MaRDI QIDQ4838079zbMATH OpenOpenAlexFDO

Authors Andrew F. Siegel

Publication date 4 July 1995

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.41.1.124

zbMATH Keywords

capital asset pricing modelexchange optionfinancial markets

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cited in

(9)

• Implied betas for the Frankel-Wei regression framework
• Calibration of Stock Betas from Skews of Implied Volatilities
• Information arrival as price jumps
• OPTION BETAS: RISK MEASURES FOR OPTIONS
• Structural analysis of portfolio risk using beta impulse response functions
• Implied risk exposures
• Exchange options under clustered jump dynamics
• Systematic risk in pools
• Jumps and betas: a new framework for disentangling and estimating systematic risks

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