Assume that we scale the market factor with an instrumental lagged variable denoted as I t1 .
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Assume that we scale the market factor with an instrumental lagged variable denoted as It−1. Write a conditional (time-varying) linear function for beta and define its terms. Assuming that the alpha term is conditional also, incorporate this instrument into the market model and discuss the parameters in this conditional form of the market model.
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Investment Valuation And Asset Pricing Models And Methods
ISBN: 9783031167836
1st Edition
Authors: James W. Kolari, Seppo Pynnönen
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