Nonlinearities in the CAPM: Evidence from Developed and Emerging Markets

DOI10.1002/FOR.2389zbMath1397.91269OpenAlexW2235463990MaRDI QIDQ4687648

John Hope McColl, Vasilios Sogiakas, Serdar Neslihanoglu, Duncan Lee

Publication date: 12 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: http://eprints.gla.ac.uk/113217/7/113217.pdf

zbMATH Keywords

co-skewnessco-kurtosistime-varying market modeltime-varying systematic covariancetwo-moment market model

Mathematics Subject Classification ID

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

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