This research investigates the appropriateness of the linear specification of the market
model for modeling and forecasting the cryptocurrency prices during the pre-COVID-19 and …

Most of the times, Economic and Financial data not only become highly volatile but also
show heterogeneous variances (heteroscedasticity). The common method of the Box …

Stock price data at State Gas Company is defined as the time-series data comprising varying
volatility and heteroscedasticity. One of the best models used to solve the problem of …

Aim/purpose–The purpose of the research is to verify the Capital Asset Pricing Model
(CAPM) in the Polish capital market based on a conventional and downside risk approach …

This paper explores how systematic higher order moments (co-skewness and co-kurtosis)
are priced in Borsa Istanbul. We tested the significance of higher order co-moments and …

I investigate the exposure of sectoral equity portfolios to climate transition risks by
augmenting a three-factor asset pricing model with a green-minus-brown (GMB) factor as a …

Research background: Conventional CAPM is a well-known and tested theory on various
capital markets. It was also repeatedly rejected as a model of capital pricing. This article pro …

El presente trabajo de investigación analiza el estado del arte de los ajustes y adaptaciones
que se han impuesto al modelo Capital Asset Pricing Model (CAPM) para habilitar su …

This paper evaluates the appropriateness of a Linear Market Model (LMM) which allows for
systematic covariance (beta) risk. The performance of LMM will be compared against two …

Over the last 9 months, the most prominent global health threat has been COVID-19. It first
appeared in Wuhan, China, and then rapidly spread throughout the world. Since no …