Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model

Fredj Jawadi, Wael Louhichi, Abdoulkarim Idi Cheffou, Hachmi Ben Ameur. Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model. Annals OR, 281(1-2):275-295, 2019. [doi]

Abstract

Abstract is missing.