A multi-dynamic-factor model for stock returns
Year of publication: |
1992
|
---|---|
Authors: | Ng, Victor ; Engle, Robert F. ; Rothschild, Michael |
Published in: |
Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 52.1992, 1-2, p. 245-266
|
Publisher: |
Elsevier |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills
Rothschild, Michael, (1988)
-
Asset Pricing with a Factor Arch Covariance Structure : Empirical Estimates for Treasury Bills
Engle, Robert F., (1988)
-
Asset Pricing with a Factor Arch Covariance Structure : Empirical Estimates for Treasury Bills
Engle, Robert F., (2010)
- More ...