Browsing School of Pure and Applied Sciences by Author "Peter, Mwita"
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Conditional CAPM in Financial Risk Management: A Quantile Autoregression approach
Kube, Ananda; Leo, Odongo; Peter, Mwita (2012)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 ...