Time-varying continuous and jump betas: The role of firm characteristics and periods of stress

C-Tier

Journal: Journal of Empirical Finance

Year: 2017

Volume: 40

Issue: C

Pages: 1-19

Authors (3)

Alexeev, Vitali (not in RePEc) Dungey, Mardi Yao, Wenying (University of Melbourne)

Score contribution per author:

0.336 = (α=2.02 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count