Winner versus Loser: Time-Varying Performance And Dynamic Conditional Correlation
نویسندگان
چکیده
منابع مشابه
the intertemporal relationship between risk and return with dynamic conditional correlation and time -varying beta
the current paper examines intertemporal capital asset pricing model in iran’s stock market. dynamic conditional correlation was used to estimate conditional variance and covariance portfolios with market returns. time varying beta is estimated by kalman filter method. based on the obtained results, risk aversion coefficients were between 0.013 and 0.28 and the average was 0.20. significance of...
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ژورنال
عنوان ژورنال: Journal of Applied Business Research (JABR)
سال: 2012
ISSN: 2157-8834,0892-7626
DOI: 10.19030/jabr.v28i4.7042