Persistence of ex-ante volatility and the cross-section of stock returns
Year of publication: |
2014
|
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Authors: | Simlai, Prodosh |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 33.2014, p. 253-261
|
Subject: | Value premium | Ex-ante volatility | Bivariate EGARCH model | Cross-sectional returns | Volatilität | Volatility | Kapitaleinkommen | Capital income | CAPM | Theorie | Theory | Schätzung | Estimation | ARCH-Modell | ARCH model | Kapitalmarktrendite | Capital market returns |
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