MODELING THE RISK AND RETURN RELATION CONDITIONAL ON MARKET VOLATILITY AND MARKET CONDITIONS

DOI10.1142/S0219024905002901zbMath1100.91033OpenAlexW2051498344MaRDI QIDQ4675833

Don U. A. Galagedera, Robert Faff

Publication date: 6 May 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024905002901

zbMATH Keywords

CAPMconditional market volatilitymodeling conditional betas

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (1)

Conditional risk–return relationship in a time-varying beta model

Cites Work

• Investment under uncertainty and the value of the firm
• Generalized autoregressive conditional heteroscedasticity
• Conditional Heteroskedasticity in Asset Returns: A New Approach

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