Turan G. Bali, Robert F. Engle, Yi Tang. Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns. Management Science, 63(11):3760-3779, 2017. [doi]
@article{BaliET17,
title = {Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns},
author = {Turan G. Bali and Robert F. Engle and Yi Tang},
year = {2017},
doi = {10.1287/mnsc.2016.2536},
url = {https://doi.org/10.1287/mnsc.2016.2536},
researchr = {https://researchr.org/publication/BaliET17},
cites = {0},
citedby = {0},
journal = {Management Science},
volume = {63},
number = {11},
pages = {3760-3779},
}