Conditional risk–return relationship in a time-varying beta model

DOI10.1080/14697680701191361zbMath1140.91392OpenAlexW2039350124MaRDI QIDQ3518378

C. James Hueng, Peng Huang

Publication date: 7 August 2008

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680701191361

zbMATH Keywords

capital asset pricingtime varying parameter modelsasymmetric risk-return relationship

Mathematics Subject Classification ID

Economic time series analysis (91B84) Auctions, bargaining, bidding and selling, and other market models (91B26)

Cites Work

• MODELING THE RISK AND RETURN RELATION CONDITIONAL ON MARKET VOLATILITY AND MARKET CONDITIONS

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