A time-varying perspective on the CAPM and downside betas - Tsai, Hsiu-Jung; Chen, Ming-Chi; Yang, Chih-Yuan (International review of economics & finance, 2014)
Keywords: Beta; Capital assets; CAPM; CAPM beta; Correlation analysis; DCC; Developed countries; Downside beta; Expected returns; Industrialized nations; Securities markets; Studies; Time-varying; Developed countries; Downside beta; F30; C32; Time-varying; DCC; G12; G15; CAPM beta