Testing for heteroskedastic mixture of ordinary least squares errors
Year of publication: |
2020
|
---|---|
Authors: | Senarathne, Chamil W ; Wei, Jianguo |
Published in: |
Romanian journal of economic forecasting. - Bucharest : Inst., ISSN 2537-6071, ZDB-ID 2428295-9. - Vol. 23.2020, 2, p. 73-91
|
Subject: | mixture of distributions hypothesis | heteroskedastic mixture | realized volatility | Monte carlo simulation | ordinary least squares | capital asset pricing | idiosyncratic volatility puzzle. | Theorie | Theory | Volatilität | Volatility | Kleinste-Quadrate-Methode | Least squares method | CAPM | Monte-Carlo-Simulation | Monte Carlo simulation | Kapitaleinkommen | Capital income | Börsenkurs | Share price |
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