Time-varying risk premium in large cross-sectional equity data sets
by Patrick Gagliardini, Elisa Ossola and Olivier Scaillet
| Year of publication: |
May 2016
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| Authors: | Gagliardini, Patrick ; Ossola, Elisa ; Scaillet, Olivier |
| Published in: |
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics. - [Wechselnde Erscheinungsorte] : [Wechselnde Verlage], ISSN 0012-9682, ZDB-ID 1798-X. - Vol. 84.2016, 3, p. 985-1046
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| Subject: | Large panel | factor model | risk premium | asset pricing | sparsity | thresh-olding | Schätzung | Estimation | Risikoprämie | Risk premium | CAPM | Kapitaleinkommen | Capital income | Faktorenanalyse | Factor analysis | Modellierung | Scientific modelling | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3982/ECTA11069 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011579614