Contribution to the Valuation of BRVM’s Assets: A Conditional CAPM Approach
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- Ewa Feder-Sempach & Piotr Szczepocki & Wiesław Dębski, 2023. "What if beta is not stable? Applying the Kalman filter to risk estimates of top US companies over the long time horizon," Bank i Kredyt, Narodowy Bank Polski, vol. 54(1), pages 25-44.
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Keywords
West African Regional Market (BRVM); conditional capital asset pricing model (CAPM); Kalman filter; Markov switching (MS) model;All these keywords.
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