Some extensions of the conditional CAPM
The objective of this thesis is to consider some extensions of the CAPM and to investigate whether such extensions can offer a better explanation for the US average equity returns. This thesis focuses on four main extensions: (i) time-varying factor loadings; (ii) higher moments (coskewness and coku...
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University of the West of England, Bristol
2014
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.619050 |