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Frances Fischberg Blank,Carlos Patricio Samanez,Tara Keshar Nanda Baidya,Fernando Antonio Lucena Aiube
Pág. 163 - 199
The conditional CAPM is characterized by time-varying market beta. Based on state-space models approach, beta behavior can be modeled as a stochastic process dependent on conditioning variables related to business cycle and estimated using Kalman filter....
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