Stock returns and volatility : pricing the short-run and long-run components of market risk
Year of publication: |
2008
|
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Authors: | Adrian, Tobias ; Rosenberg, Joshua V. |
Published in: |
The journal of finance : the journal of the American Finance Association. - Hoboken, NJ [u.a.] : Wiley, ISSN 0022-1082, ZDB-ID 218191-5. - Vol. 63.2008, 6, p. 2997-3030
|
Subject: | CAPM | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Theorie | Theory |
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