Factor investing: A stock selection methodology for the European equity market. [PDF]
Heliyon, 2021 Bermejo R +3 more
europepmc +1 more source
Does the Conditional CAPM Work? Evidence from the Istanbul Stock Exchange [PDF]
, 2011 Atakan Yalçın, Nuri Ersşahin
openalex +1 more source
The Conditional CAPM Does Not Explain Asset-pricing Anomalies
, 2003 Jonathan Lewellen, Stefan Nagel
openalex +1 more source
Isthmin-1 (Ism1) modulates renal branching morphogenesis and mesenchyme condensation during early kidney development. [PDF]
Nat Commun, 2023 Gao G +7 more
europepmc +1 more source
A Conditional Multi-Asset Intertemporal CAPM with Switching Prices of Risk
, 2000 Lorenzo Cappiello
openalex +1 more source
Forecasting the time-varying beta of UK firms: GARCH models vs Kalman filter method
, 2007 This paper forecast the weekly time-varying beta of 20 UK firms by means of four different GARCH models and the Kalman filter method. The four GARCH models applied are the bivariate GARCH, BEKK GARCH, GARCH-GJR and the GARCH-X model.
Choudhry, Taufiq, Wu, Hao
core
Research on interaction of innovation spillovers in the AI, Fin-Tech, and IoT industries: considering structural changes accelerated by COVID-19. [PDF]
Financ Innov, 2023 Ho CM.
europepmc +1 more source
Least Median of Squares Estimation by Optimization Heuristics with an Application to the CAPM and Multi Factor Models [PDF]
For estimating the parameters of models for financial market data, the use of robust techniques is of particular interest. Conditional forecasts, based on the capital asset pricing model, and a factor model are considered.
Chris Sharpe +2 more
core
Changing vulnerability in Asia: contagion and spillovers. [PDF]
Empir Econ, 2023 Kangogo M, Dungey M, Volkov V.
europepmc +1 more source
TESTING THE NON-PARAMETRIC CONDITIONAL CAPM IN THE BRAZILIAN STOCK MARKET
, 2014 Daniel Reed Bergmann +3 more
openalex +2 more sources