Market sentiment and the Fama-French factor premia
Year of publication: |
November 2015
|
---|---|
Authors: | Shamsuddin, Abdul ; Kim, Jae H. |
Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 136.2015, p. 129-132
|
Subject: | Generalized impulse response analysis | Factor premium | VIX | Wild bootstrap | CAPM | Bootstrap-Verfahren | Bootstrap approach | Risikoprämie | Risk premium | Volatilität | Volatility | Kapitaleinkommen | Capital income | Schätzung | Estimation |
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