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Keywords: Conditional capital asset pricing model
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Journal Articles
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2011) 12 (4): 306–314.
Published: 16 August 2011
... a simple data‐driven conditional capital asset pricing model (CAPM); and to examine the effect of conditional heteroscedasticity on the estimation of systematic risk. Design/methodology/approach Systematic risk coefficients (betas) are estimated at first using data of various frequencies from...
