Cross-sectional returns with volatility regimes from a diverse portfolio of emerging and developed equity indices
Year of publication: |
2016
|
---|---|
Authors: | Sakowski, Paweł ; Ślepaczuk, Robert ; Wywiał, Mateusz |
Subject: | cross-sectional models | asset pricing models | equity risk premiums | emerging and developed equity indices | data overfitting and model | CAPM | Volatilität | Volatility | Risikoprämie | Risk premium | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Schwellenländer | Emerging economies | Schätzung | Estimation | Aktienindex | Stock index | Kapitalmarkttheorie | Financial economics |
Type of publication: | Article |
---|---|
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.14636/1734-039X_12_2_003 [DOI] hdl:10419/197432 [Handle] |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; G11 - Portfolio Choice ; F30 - International Finance. General ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; G14 - Information and Market Efficiency; Event Studies ; G15 - International Financial Markets |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Sakowski, Paweł, (2016)
-
Czapiewski, Leszek, (2019)
-
The term structure of equity and variance risk premia
Aït-Sahalia, Yacine, (2018)
- More ...
-
Sakowski, Paweł, (2016)
-
Sakowski, Paweł, (2016)
-
Can we invest based on equity risk premia and risk factors from multi-factor models?
Sakowski, Paweł, (2016)
- More ...