State dependence of aggregated risk aversion : evidenve for the German stock market
Year of publication: |
November 2014
|
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Authors: | Hansen, Marc ; Herwartz, Helmut ; Rengel, Malte |
Published in: |
Journal of applied economics. - Buenos Aires, ISSN 1514-0326, ZDB-ID 1480229-6. - Vol. 17.2014, 2, p. 257-281
|
Subject: | risk-return trade-off | stock return predictability | noise trading | realized volatility | Kalman-filter | Schätzung | Estimation | Kapitaleinkommen | Capital income | Deutschland | Germany | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Risiko | Risk | Risikoaversion | Risk aversion | Aktienmarkt | Stock market | Börsenkurs | Share price | CAPM |
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