Persistence in the Realized Betas: Some Evidence for the Spanish Stock Market
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More about this item
Keywords
realized beta; CAPM; persistence; mean reversion; long memory;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fields
This paper has been announced in the following NEP Reports:- NEP-EEC-2020-04-20 (European Economics)
- NEP-ETS-2020-04-20 (Econometric Time Series)
- NEP-FMK-2020-04-20 (Financial Markets)
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