Testing of a market fraction model and power-law behaviour in the DAX 30
Year of publication: |
March 2015
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Authors: | He, Xue-zhong ; Li, Youwei |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 31.2015, p. 1-17
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Subject: | Asset pricing | Fundamentalists and trend followers | (FI)GARCH | Power-law | Tail index | Schätzung | Estimation | Börsenkurs | Share price | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | CAPM | Kapitaleinkommen | Capital income | Schätztheorie | Estimation theory | Statistische Verteilung | Statistical distribution |
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