Time-varying variance scaling : application of the fractionally integrated ARMA model
Year of publication: |
2019
|
---|---|
Authors: | Chen, An-sing ; Chang, Hung-Chou ; Cheng, Lee-Young |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 47.2019, p. 1-12
|
Subject: | Anomalies | Forecasting model | Stock portfolio | Time-varying risk | Theorie | Theory | Prognoseverfahren | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | ARMA-Modell | ARMA model | Schätzung | Estimation | Volatilität | Volatility | CAPM |
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