Kolari, Liu, and Zhang (KLH) (2021) proposed a novel empirical ZCAPM to capture positive and negative sensitivity

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Kolari, Liu, and Zhang (KLH) (2021) proposed a novel empirical ZCAPM to capture positive and negative sensitivity to return dispersion (i.e., zeta risk). Write their empirical model. What is Dit in this model? Using the definition of Dit, write the final form of the empirical ZCAPM. Why must the expectation maximization (EM) regression method must be used to estimate this final form?

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