Analysis of the effect of index futures on stock market with a new Fama-French 3-factor model
Year of publication: |
2014
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Authors: | Bei, Xinyue ; Yang, Yanjia ; Li, Liuling ; Mizrach, Bruce Marshall |
Published in: |
Theoretical economics letters. - Irvine, Calif. : Scientific Research, ISSN 2162-2078, ZDB-ID 2657454-8. - Vol. 4.2014, 9, p. 748-759
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Subject: | Index Futures | Fama-French 3-Factor Model | SSAEPD (Standardized Standard Asymmetric Exponential Power Distribution) | EGARCH | Theorie | Theory | Index-Futures | Index futures | Aktienmarkt | Stock market | Börsenkurs | Share price | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution |
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