Consumption asset pricing with stable shocks-exploring a solution and its implications for mean equity returns
Year of publication: |
2003
|
---|---|
Authors: | Bidarkota, Prasad V. ; McCulloch, J. Huston |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 27.2003, 3, p. 399-421
|
Subject: | CAPM | Kapitaleinkommen | Capital income | Theorie | Theory | Statistische Verteilung | Statistical distribution |
-
Fischer, Matthias, (2002)
-
Testing the CAPM theory based on a new model for Fama-French 25 portfolio returns
Li, Liuling, (2014)
-
Allen, David E., (2013)
- More ...
-
Asset pricing with incomplete information and fat tails
Bidarkota, Prasad V., (2009)
-
Signal extraction can generate volatility clusters from IID shocks
Bidarkota, Prasad V., (2002)
-
Real stock returns : non-normality, seasonality, and volatility peristence, but no predictability
Bidarkota, Prasad V., (1997)
- More ...