Factor models of stock returns : GARCH errors versus time-varying betas
Phoebe Koundouri, Nikolaos Kourogenis, Nikitas Pittis and Panagiotis Samartzis
| Year of publication: |
August 2016
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|---|---|
| Authors: | Koundouri, Phoebe ; Kourogenis, Nikolaos ; Pittis, Nikitas ; Samartzis, Panagiotis |
| Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 35.2016, 5, p. 445-461
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| Subject: | autoregressive beta | stock returns | single-factor model | conditional heteroscedasticity | in-sample performance | out-of-sample performance | Schätzung | Estimation | Theorie | Theory | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | CAPM | Börsenkurs | Share price | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Inflationserwartung | Inflation expectations |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.2387 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011580985