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Does beta react to market conditions? Estimates of "bull" and "bear" betas using a nonlinear market model with an endogenous threshold parameter

Woodward, George; Anderson, Heather


The authors use a logistic smooth transition market (LSTM) model to investigate whether ‘bull’ and ‘bear’ market betas for Australian industry portfolios returns differ. The LSTM model allows the data to determine a threshold parameter that differ

CollectionsANU Research Publications
Date published: 2009
Type: Journal article
Source: Quantitative Finance
DOI: 10.1080/14697680802595643


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