Asymmetric correlation as an explanation for the effect of asset skewness on equity returns
Year of publication: |
October 2017
|
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Authors: | Chung, Y. Peter ; Kim, Thomas S. |
Published in: |
Asia-Pacific journal of financial studies. - Richmond : Wiley-Blackwell, ISSN 2041-9945, ZDB-ID 2616683-5. - Vol. 46.2017, 5, p. 686-699
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Subject: | Asymmetric correlation | Skewness | Fama-French factors | Suppressor variables | Kapitaleinkommen | Capital income | Korrelation | Correlation | ARCH-Modell | ARCH model | Volatilität | Volatility | CAPM | Portfolio-Management | Portfolio selection | Börsenkurs | Share price | Kapitalmarktrendite | Capital market returns |
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