Time varying CAPM betas and banking sector risk

DOI10.1016/J.ECONLET.2011.12.056MaRDI QIDQ433198zbMATHOpenAlexFDO

Authors Tony Caporale

Publication date 13 July 2012

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2011.12.056

zbMATH Keywords

structural breaksCAPMfinancial risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Cites work

• Estimating and Testing Linear Models with Multiple Structural Changes
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

Cited in

(4)

• Time-Varying Betas Help in Asset Pricing: The Threshold CAPM
• The CAPM, national stock market betas, and macroeconomic covariates: a global analysis
• Detecting at-most-\(\mathfrak{m}\) changes in linear regression models
• Financial sector risk and the stock returns: evidence from Tokyo Stock Exchange firms

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