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The use of domestic and world market indexes in the estimation of time-varying betas

✍ Scribed by Michael D. McKenzie; Robert D. Brooks; Robert W. Faff


Book ID
114340143
Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
164 KB
Volume
10
Category
Article
ISSN
1042-444X

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## Abstract In this study, a three‐factor model of crude oil prices is estimated, which incorporates a time‐varying market price of risk. The model is able to accurately capture the term structure of futures prices with evidence suggesting that risk premiums in the crude oil market are time‐varying