Mispricing: failure to capture the risk preferences dependent on market states
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DOI: 10.1007/s10479-021-04166-1
Abstract: This paper explores the mispricing relative to the capital asset pricing model through an equilibrium model. We find that both the strong risk preference dependent on good market states and strong risk aversion dependent on… read more here.
Keywords: risk; market; market states; mispricing failure ... See more keywords
Market dynamics, cyclical patterns and market states
Sign Up to like & getrecommendations! Published in 2019 at "Studies in Economics and Finance"
DOI: 10.1108/sef-08-2019-0302
Abstract: Purpose In this paper, the authors seek to investigate the dynamics of Bitcoin, Litecoin, Ethereum and Ripple daily returns and volatilities. Design/methodology/approach In this paper, the authors apply the MS-ARMA model on daily returns of… read more here.
Keywords: market; market states; cryptocurrency; dynamics cyclical ... See more keywords