Predicting the equity risk premium using the smooth cross-sectional tail risk : the importance of correlation
Year of publication: |
2023
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Authors: | Faias, José Afonso |
Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 63.2023, p. 1-22
|
Subject: | Cross-sectional | Equity premium | Prediction | Schätzung | Estimation | Risikoprämie | Risk premium | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Korrelation | Correlation | Equity-Premium-Puzzle | Equity premium puzzle | CAPM |
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