Continuous and Jump Betas: Implications for Portfolio Diversification-Reference-Cited by-同舟云学术

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Continuous and Jump Betas: Implications for Portfolio Diversification

Published:2016-06-01 Issue:4 Volume:4 Page:27
ISSN:2225-1146
Container-title:Econometrics
language:en
Short-container-title:Econometrics

Author:

Alexeev Vitali^ORCID,Dungey Mardi,Yao Wenying

Funder

Australian Research Council

Publisher

MDPI AG

Subject

Economics and Econometrics

Link

http://www.mdpi.com/2225-1146/4/2/27/pdf

Reference60 articles.

1. PORTFOLIO SELECTION*

2. Portfolio Selection: Efficient Diversification of Investments;Markowitz,1959

3. Thinking Coherently;Artzner;Risk,1997

4. Coherent Measures of Risk

5. DIVERSIFICATION AND THE REDUCTION OF DISPERSION: AN EMPIRICAL ANALYSIS*

Cited by 4 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum;Econometrics;2023-08-10

2. Time Dependence of CAPM Betas on the Choice of Interval Frequency and Return Timeframes: Is There an Optimum?;Journal of Risk and Financial Management;2022-11-07

3. Realized Volatility, Jump and Beta: evidence from Canadian Stock Market;Applied Economics;2021-07-28

4. Asymmetric jump beta estimation with implications for portfolio risk management;International Review of Economics & Finance;2019-07

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