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

Quantitative Finance

Volumn 9, Issue 8, 2009, Pages 913-924

  Woodward, George ^a   Anderson, Heather M ^b  

^a UNIVERSITY OF COLORADO   (United States)

^b AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

Author keywords

Bull and bear betas; Dual beta market (DBM); Linearity tests; Logistic smooth transition market (LSTM) models; Models; Sequential conditional least squares (SCLS)

Indexed keywords

EID: 79953165901     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680802595643     Document Type: Article

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