Aggregate volatility risk and empirical factors : an international study
Year of publication: |
2021
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Authors: | Lee, Woongki ; Park, James L. ; Sohn, Bumjean |
Published in: |
Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets. - Abingdon, Oxon : Routledge, Taylor & Francis, ISSN 1558-0938, ZDB-ID 2095312-4. - Vol. 57.2021, 5, p. 1489-1513
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Subject: | Aggregate volatility risk | ICAPM | international stock markets | two-component volatility model | Volatilität | Volatility | Welt | World | Risikoprämie | Risk premium | Aktienmarkt | Stock market | Börsenkurs | Share price | Schätzung | Estimation | ARCH-Modell | ARCH model | Risiko | Risk |
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