Pitfalls in VAR based return decompositions : a clarification
Year of publication: |
2012
|
---|---|
Authors: | Engsted, Tom ; Pedersen, Thomas Q. ; Tanggaard, Carsten |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 36.2012, 5, p. 1255-1265
|
Subject: | CAPM | Theorie | Theory | VAR-Modell | VAR model | Dekompositionsverfahren | Decomposition method | Zeitreihenanalyse | Time series analysis |
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