Time varying CAPM betas and banking sector risk

DOI10.1016/j.econlet.2011.12.056zbMath1242.91078OpenAlexW1964018142MaRDI QIDQ433198

Tony Caporale

Publication date: 13 July 2012

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2011.12.056

zbMATH Keywords

financial riskCAPMstructural breaks

Mathematics Subject Classification ID

Related Items (1)

Detecting at‐Most‐m Changes in Linear Regression Models

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Estimating and Testing Linear Models with Multiple Structural Changes

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