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    Conditional CAPM in financial risk management: a quantile autoregression approach 

    Kube, Ananda; Leo, Odongo; Mwita , Peter
    The study aims to provide a comprehensive description of dependence pattern of a stock by studying a range of betas derived as quantiles of conditional return distribution using quantile regression based on moving window ...

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    AuthorKube, Ananda (1)Leo, Odongo (1)Mwita , Peter (1)SubjectBeta (1)
    CAPM (1)
    Moving window regression (1)Quantile autoregression (1)Reurns. (1)... View MoreHas File(s)Yes (1)

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