The decomposition of jump risks in individual stock returns
Year of publication: |
2018
|
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Authors: | Xiao, Xiao ; Chen Zhou |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 47.2018, p. 207-228
|
Subject: | Asset pricing | GARCH filtering | Jump–diffusion model | Theorie | Theory | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Börsenkurs | Share price | CAPM | Volatilität | Volatility | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Dekompositionsverfahren | Decomposition method |
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