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ArticleA time-varying perspective on the CAPM and downside betas

Hsiu-Jung Tsai2013

Article2013

A time-varying perspective on the CAPM and downside betas

Hsiu-Jung Tsai · Ming‐Chi Chen · Chih‐Yuan Yang

39 citations·0/0 files stored·International Review of Economics & Finance

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Risk and Portfolio Optimization

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References

1973Risk, Return, and Equilibrium: Empirical Tests 2002Dynamic Conditional Correlation 1992ARCH modeling in finance 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 1988A Capital Asset Pricing Model with Time-Varying Covariances 1996The Conditional CAPM and the Cross-Section of Expected Returns 1991The Variation of Economic Risk Premiums 2001Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying

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2015Mean-variance portfolio methods for energy policy risk management 2022Conventional and downside CAPM: The case of London stock exchange 2019A dynamic conditional regime-switching GARCH CAPM for energy and financial markets 2016The time traveller’s CAPM 2021A wavelet approach of investing behaviors and their effects on risk exposures 2022Market and Accounting Measures of Risk: The Case of the Frankfurt Stock Exchange

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Year2013

Typearticle

Published2013-07-27

VenueInternational Review of Economics & Finance

ISSN-L1059-0560

Languageen

Citations39

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.iref.2013.07.006

openalex_workW2109213319

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