This research argued for estimating the Capital Asset Pricing Model (CAPM) using daily and
medium-horizon data over monthly and short horizon-data. Using a Gibbs sample, the …

There are many asset prices which are interlinked and have a bearing on the stock market
index. Studies have shown that the interrelationship among these asset prices vary and are …

Abstract Analysis with high frequency returns has become a core part of modern financial
econometrics. Particularly in the measurement and forecasting of variance, covariance …

The present research is aimed at predicting the beta coefficient (systematic risk) prediction
dynamics within the framework of two macroeconomic structural models, the model in the …

Forecasting systematic risk beta accurately is the key to building market-neutral portfolios
that yield returns independent of market fluctuations. Using realized betas in an …

ABSTRACT The Capital Asset Pricing Model (CAPM) is widely used in corporate finance to
assess expected returns of securities and return on equity, and beta, a measure of …

Abstract Analysis with high frequency returns has become a core part of modern financial
econometrics. Particularly in the measurement and forecasting of variance, covariance …