Conditionally parametric fits for CAPM betas
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- Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-131, February.
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Keywords
CAPM; time-varying betas; conditionally parametric fits; nonparametric regression;All these keywords.
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