Time aggregation and the estimation of the market model : revision and extension
Year of publication: |
2024
|
---|---|
Authors: | Lee, Cheng F. ; Lin, Fu-Lai ; Cartwright, Phillip A. |
Published in: |
Handbook of investment analysis, portfolio management, and financial derivatives ; Volume 2. - New Jersey : World Scientific, ISBN 978-981-12-6323-1. - 2024, p. 951-978
|
Subject: | Temporal aggregation | Beta coefficients | Dynamic market model | Error correction model | Coefficient determination | t statistics | Long-run multiplier | CAPM | Schätztheorie | Estimation theory | Aggregation | Zeitreihenanalyse | Time series analysis | Kointegration | Cointegration |
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