Structural breaks and common factors in the volatiliy of the Fama-French factor portfolios
Year of publication: |
2006
|
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Authors: | Morana, Claudio ; Beltratti, Andrea |
Published in: |
Applied financial economics. - London : Routledge, ISSN 0960-3107, ZDB-ID 1077973-5. - Vol. 16.2006, 14 (1.10.), p. 1059-1073
|
Subject: | Kapitaleinkommen | Capital income | Volatilität | Volatility | Strukturbruch | Structural break | Portfolio-Management | Portfolio selection | USA | United States | 1969-2001 |
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