Adjusted beta based on an empirical comparison of OLS ‐CAPM and the CAPM with EGARCH errors
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DOI: 10.1002/ijfe.1977
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- Michel Terraza & Roman Mestre, 2021. "Adjusted beta based on an empirical comparison of OLS ‐ CAPM and the CAPM with EGARCH errors," Post-Print hal-04058231, HAL.
References listed on IDEAS
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Cited by:
- Pankaj Agrrawal & Faye W. Gilbert & Jason Harkins, 2022. "Time Dependence of CAPM Betas on the Choice of Interval Frequency and Return Timeframes: Is There an Optimum?," JRFM, MDPI, vol. 15(11), pages 1-18, November.
- Roman Mestre, 2019. "Time-Frequency Multi-Betas Model-An Application with Gold and Oil -," Cahiers de recherche 19-05, Departement d'économique de l'École de gestion à l'Université de Sherbrooke.
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