Dynamic conditional betas and equity returns
Year of publication: |
2020
|
---|---|
Authors: | Terregrossa, Salvatore Joseph ; Eraslan, Veysel |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 7.2020, 4, p. 1-17
|
Subject: | dynamic conditional correlation | Asset pricing | asymmetric systematic risk | dynamic conditional beta | security market plane | CAPM | Betafaktor | Beta risk | Risikoprämie | Risk premium | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Börsenkurs | Share price | Korrelation | Correlation |
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