Time varying betas and the unconditional distribution of asset returns
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Publication:2869990
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Cites work
- A characterization of the distributions that imply mean-variance utility functions
- Application of the Method of Mixtures to Quadratic Forms in Normal Variates
- Computing the distribution of quadratic forms in normal variables
- Estimation of the mean of a multivariate normal distribution
- Note on the inversion theorem
- Stein's lemma for elliptical random vectors
- The Variance Gamma Process and Option Pricing
Cited in
(8)- Time-varying market beta: does the estimation methodology matter?
- Transitions in the stock markets of the US, UK and Germany
- Quantitative portfolio selection: using density forecasting to find consistent portfolios
- Time-varying risk attitude and conditional skewness
- Factor models of stock returns: GARCH errors versus time-varying betas
- Realized beta: persistence and predictability
- Conditional risk–return relationship in a time-varying beta model
- Beta in Linear Risk Tolerance Economies
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