Bayesian Analysis of Stochastic Betas

By Gergana Jostova, Alexander Philipov. Journal of Financial and Quantitative Analysis, 2005

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Expected Returns, Yield Spreads, and Asset Pricing Tests (2005, unknown): “See also Jagannathan and Wang (1996); Ang and Chen (2004); Jostova and Philipov (2004) ; and Anderson et al. (2005).”
Learning about Beta: Time-Varying Factor Loadings, Expected Returns, and the Conditional CAPM (2009, background): “Our specification in Equation (2) also nests the models of time-varying betas proposed by Chan and Chen (1991), Jostova and Philipov (2005), and Ang and Chen (2007), all of whom assume autoregressive processes for βit+1, but do not have conditioning variables (φi′ = 0), and—most importantly—assume…”
Predictive Regressions with Time-Varying Coefficients (2012, unknown): “4Note that there is an extensive literature (see, for example, Jostova and Philipov (2005) for a recent paper) that focuses on models with dynamic (i.e., time-varying) Beta which is to some extent related to our work.”