Field of examination is theoretical and empirical review of dynamic CAPM models that assume non constant volatility and correlation. In other words time evolution is considered in estimation process. As theoretical basement is recommended to be R. Engle's (Dynamic Conditional Beta) research and other sources.
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:199290 |
| Date | January 2013 |
| Creators | Tabiš, Peter |
| Contributors | Witzany, Jiří, Stádník, Bohumil |
| Publisher | Vysoká škola ekonomická v Praze |
| Source Sets | Czech ETDs |
| Language | Slovak |
| Detected Language | English |
| Type | info:eu-repo/semantics/masterThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
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