Intraday cross-sectional distributions of systematic risk
Year of publication: |
2023
|
---|---|
Authors: | Andersen, Torben ; Riva, Raul ; Thyrsgaard, Martin ; Todorov, Viktor |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 235.2023, 2, p. 1394-1418
|
Subject: | Asset pricing | Dynamic factor models | Empirical characteristic function | High-frequency data | Nonparametric inference | Stable convergence | Theorie | Theory | CAPM | Volatilität | Volatility | Schätzung | Estimation | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price | Nichtparametrisches Verfahren | Nonparametric statistics | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Faktorenanalyse | Factor analysis |
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