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題名 | Conditional Heteroscedasticity, Dual Time-Varying Betas in Bull and Bear Months of the Three-Factor Model=三因子模型在多頭月及空頭月之條件異質性與雙重時間變動貝他值 |
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作者 | 陳家彬; 劉映興; 楊踐為; Chen, Chia-pin; Liu, Ying-sing; Yang, Jack J. W.; |
期刊 | 證券市場發展季刊 |
出版日期 | 20100400 |
卷期 | 22:1=85 2010.04[民99.04] |
頁次 | 頁1-27 |
分類號 | 563.54 |
語文 | eng |
關鍵詞 | 雙重時間變動貝他值; 條件異質性; 多因子資產定價; Dual time-varying betas; Conditional heteroscedasticity; Multifactor asset pricing; |