The role of jump dynamics in the risk-return relationship
Year of publication: |
2013
|
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Authors: | Arshanapalli, Bala Gangadhar ; Fabozzi, Frank J. ; Nelson, William |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 29.2013, p. 212-218
|
Subject: | Time-varying risk premium | Mixed GARCH | Jump diffusion model | Risikoprämie | Risk premium | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Volatilität | Volatility | Schätzung | Estimation | Risiko | Risk | CAPM |
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