Persistence in the market risk premium : evidence across countries
Year of publication: |
April 2020
|
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Authors: | Caporale, Guglielmo Maria ; Gil-Alaña, Luis A. ; Martin-Valmayor, Miguel |
Publisher: |
Munich, Germany : CESifo, Center for Economic Studies & Ifo Institute |
Subject: | CAPM | risk premium | persistence | mean reversion | long memory | Risikoprämie | Risk premium | Zeitreihenanalyse | Time series analysis | Welt | World | Theorie | Theory | Mean Reversion | Mean reversion | Schätzung | Estimation |
Extent: | 1 Online-Ressource (circa 31 Seiten) Illustrationen |
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Series: | CESifo working papers. - München : [Verlag nicht ermittelbar], ISSN 2364-1428, ZDB-ID 2065232-X. - Vol. no. 8211 (2020) |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Other identifiers: | hdl:10419/216607 [Handle] |
Classification: | C22 - Time-Series Models ; G11 - Portfolio Choice |
Source: | ECONIS - Online Catalogue of the ZBW |
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