Macroeconomic factors strike back : a Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section
Daniele Bianchi, Massimo Guidolin and Francesco Ravazzolo
| Year of publication: |
[2015] ; This version: June 6, 2015
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| Authors: | Bianchi, Daniele ; Guidolin, Massimo ; Ravazzolo, Francesco |
| Publisher: |
Milano, Italy : IGIER, Università Bocconi |
| Subject: | Structural breaks | Stochastic volatility | Multi-factor linear models | Asset Pricing | Strukturbruch | Structural break | Volatilität | Volatility | CAPM | USA | United States | Schätzung | Estimation | Risikoprämie | Risk premium | Bayes-Statistik | Bayesian inference | Stochastischer Prozess | Stochastic process | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income |
freely available
| Extent: | 1 Online-Ressource (circa 61 Seiten) Illustrationen |
|---|---|
| Series: | Working papers / Innocenzo Gasparini Institute for Economic Research. - Milano : [Verlag nicht ermittelbar], ZDB-ID 2123989-7. - Vol. n. 550 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011809314