Time -varying volatilities, CAPM betas, and factor loadings: A high -frequency data perspective - Zhang, Yibin (ProQuest Dissertations & Theses, 2003)
Keywords: Arbitrage; Asymmetry; Capital assets; CAPM; Copyright; Corporate debt; Decision making; Electronic trading systems; Equity; Estimates; Finance; Financial leverage; Forecasting; High frequency trading; Prices; Random variables; Risk premiums; Sample variance; Stochastic models; Stock prices; Stocks; Volatility