Time varying CAPM betas and banking sector risk

DOI10.1016/J.ECONLET.2011.12.056zbMATH Open1242.91078OpenAlexW1964018142MaRDI QIDQ433198FDOQ433198

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

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zbMATH Keywords

structural breaksCAPMfinancial risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

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

Cited In (4)

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

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