Browsing Undergraduate Honors Theses and Student papers by Subject "Capital Asset Pricing Model (CAPM)"

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Jump Robustness of Realized Beta and Disentanglement of Jump Beta

Sun, Hao (2012-04-17)

This paper constructs jump-robust estimators for the beta in Capital Asset Pricing Model (CAPM) in order to test the robustness of the recently developed Realized Beta in the presence of large discontinuous movements, or ...