Time varying betas and the unconditional distribution of asset returns
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Publication:2869990
DOI10.1080/14697688.2010.544667zbMATH Open1279.91075OpenAlexW2073433207MaRDI QIDQ2869990FDOQ2869990
Authors: C. J. Adcock, Maria Ceu Cortez, Manuel J. Rocha Armada, Florinda Silva 
Publication date: 17 January 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/1822/19676
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Cites Work
- Estimation of the mean of a multivariate normal distribution
- Computing the distribution of quadratic forms in normal variables
- Note on the inversion theorem
- The Variance Gamma Process and Option Pricing
- A characterization of the distributions that imply mean-variance utility functions
- Stein's lemma for elliptical random vectors
- Application of the Method of Mixtures to Quadratic Forms in Normal Variates
Cited In (8)
- Conditional risk–return relationship in a time-varying beta model
- Transitions in the stock markets of the US, UK and Germany
- Time-varying market beta: does the estimation methodology matter?
- Quantitative portfolio selection: using density forecasting to find consistent portfolios
- Beta in Linear Risk Tolerance Economies
- Time-varying risk attitude and conditional skewness
- Factor models of stock returns: GARCH errors versus time-varying betas
- Realized beta: persistence and predictability
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