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,...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
| Published: |
University of Tehran
2015-03-01
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| Series: | تحقیقات مالی |
| Subjects: | |
| Online Access: | https://jfr.ut.ac.ir/article_51914_7f67583c0ff2279a47fd225106eb7bdb.pdf |