Factor models of stock returns : GARCH errors versus time-varying betas
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
|
Subject: | autoregressive beta | stock returns | single-factor model | conditional heteroscedasticity | in-sample performance | out-of-sample performance | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | CAPM | Betafaktor | Beta risk | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Heteroskedastizität | Heteroscedasticity | Faktorenanalyse | Factor analysis | Großbritannien | United Kingdom | Portfolio-Management | Portfolio selection |
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