A dynamic conditional regime-switching GARCH CAPM for energy and financial markets
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DOI: 10.1016/j.eneco.2019.104577
Abstract: Abstract This paper develops a methodology for estimating a time-varying conditional version of the CAPM with regime changes in conditional variance dynamics. Our research goal is related to documenting the power of the beta when… read more here.
Keywords: regime switching; energy; capm; switching garch ... See more keywords