Factor Models for Asset Returns - University of …
Not be a good assumption. There are several ways to allow (6) to vary over time. In general, βi,σ2i and σ2 Mcanbetimevarying.Thatis, βi= βit,σ 2 i= σ 2 it,σ 2 M= σ 2 Mt. …File Size: 186KBPage Count: 33
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