Country and industry equity risk premia in the euro area: an intertemporal approach
Year of publication: |
2008
|
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Authors: | Cappiello, Lorenzo ; Lo Duca, Marco ; Maddaloni, Angela |
Publisher: |
Frankfurt a. M. : European Central Bank (ECB) |
Subject: | Aktie | Risikoprämie | CAPM | ARCH-Modell | Zustandsraummodell | Eurozone | Deutschland | Frankreich | Italien | Niederlande | Spanien | conditional asset pricing | financial integration | intertemporal risk | Kalman filter | multivariate GARCH |
Series: | ECB Working Paper ; 913 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 587719524 [GVK] hdl:10419/153347 [Handle] RePEc:ecb:ecbwps:20080913 [RePEc] |
Classification: | G12 - Asset Pricing ; F37 - International Finance Forecasting and Simulation ; C32 - Time-Series Models |
Source: |
-
Country and industry equity risk premia in the euro area : an intertemporal approach
Cappiello, Lorenzo, (2008)
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Structural versus Temporary Drivers of Country and Industry Risk
BAELE, L., (2006)
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Time-varying integration, the euro and international diversification strategy
Baele, Lieven, (2008)
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Country and Industry Equity Risk Premia in the Euro Area : An Intertemporal Approach
Cappiello, Lorenzo, (2008)
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Country and industry equity risk premia in the euro area : an intertemporal approach
Cappiello, Lorenzo, (2008)
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Country and industry equity risk premia in the euro area: an intertemporal approach
Cappiello, Lorenzo, (2008)
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