Can habit formation under complete market integration explain the cross-section of international equity risk premia?
Year of publication: |
2013
|
---|---|
Authors: | Auer, Benjamin R. |
Published in: |
Review of financial economics : RFE. - Medford, MA : Wiley, ISSN 1058-3300, ZDB-ID 1116477-3. - Vol. 22.2013, 2, p. 61-67
|
Subject: | Bivariate GARCH | CCAPM | Market integration | Conditional covariance | Habit formation | Theorie | Theory | CAPM | Marktintegration | Risikoprämie | Risk premium | ARCH-Modell | ARCH model | Schätzung | Estimation |
-
Hueng, C. James, (2014)
-
The evolution of risk premium as a measure for intra-regional equity market integration
Guesmi, Khaled, (2014)
-
Chaieb, Ines, (2018)
- More ...
-
A note on Guo and Xiao's (2016) results on monotonic functions of the Sharpe ratio
Auer, Benjamin R., (2018)
-
Is there a Friday the 13th Effect in Emerging Asian Stock Markets?
Auer, Benjamin R., (2013)
-
Is there a Friday the 13th effect in ermerging Asian stock markets?
Auer, Benjamin R., (2013)
- More ...