Time varying betas and the unconditional distribution of asset returns
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Publication:2869990
DOI10.1080/14697688.2010.544667zbMath1279.91075OpenAlexW2073433207MaRDI QIDQ2869990
Maria Ceu Cortez, C. J. Adcock, Manuel J. Rocha Armada, Florinda Silva
Publication date: 17 January 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/1822/19676
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Cites Work
- Estimation of the mean of a multivariate normal distribution
- A characterization of the distributions that imply mean-variance utility functions
- Stein's lemma for elliptical random vectors
- The Variance Gamma Process and Option Pricing
- Computing the distribution of quadratic forms in normal variables
- Application of the Method of Mixtures to Quadratic Forms in Normal Variates
- Note on the inversion theorem
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