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subject:"Capital income"
~person:"Engle, Robert F."
~person:"Vuolteenaho, Tuomo"
~subject:"United States"
~type_genre:"Aufsatz in Zeitschrift"
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Capital income
United States
Beta risk
4
Betafaktor
4
CAPM
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Estimation
3
Kapitaleinkommen
3
Schätzung
3
1929-2001
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Risikoprämie
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Schätztheorie
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Share price
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Zeitreihenanalyse
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and expected stock returns
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buying intensity
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conditional capital asset pricing model
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dynamic conditional beta
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investor attention
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multi-factor asset pricing
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multivariate GARCH
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non-nested tests
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systemic risk
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Engle, Robert F.
Vuolteenaho, Tuomo
Reeves, Jonathan J.
6
Brooks, Robert
5
Bali, Turan G.
4
Bollerslev, Tim
4
Tang, Gordon Y. N.
4
Alexeev, Vitali
3
Chen, Chun-Da
3
Dungey, Mardi H.
3
Faff, Robert W.
3
Rubio, Gonzalo
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3
Shum, Wai Cheong
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Todorov, Viktor
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Yao, Wenying
3
Acheampong, Prince
2
Akdeniz, Levent
2
Altay-Salih, Aslihan
2
Asgharian, Hossein
2
Badarinathi, Ravija
2
Berg, Kimberly A.
2
Blitz, David
2
Brown, Stephen J.
2
Campbell, John Y.
2
Cenesizoglu, Tolga
2
Chen, Dar-hsin
2
Chowdhury, Biplob
2
Cornell, Bradford
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Drew, Michael E.
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Eraslan, Veysel
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Estrada, Javier
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Fraser, Patricia
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French, Kenneth Ronald
2
Glascock, John Leslie
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Han, Xing
2
Hassan, M. Kabir
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
The American economic review
1
The review of financial studies
1
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ECONIS (ZBW)
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Dynamic conditional beta is alive and well in the cross section of daily stock returns
Bali, Turan G.
;
Engle, Robert F.
;
Tang, Yi
- In:
Management science : journal of the Institute for …
63
(
2017
)
11
,
pp. 3760-3779
Persistent link: https://www.econbiz.de/10011772757
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2
Dynamic conditional beta
Engle, Robert F.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
Saved in:
3
Growth or glamour?: fundamentals and systematic risk in stock returns
Campbell, John Y.
;
Polk, Christopher
;
Vuolteenaho, Tuomo
- In:
The review of financial studies
23
(
2010
)
1
,
pp. 305-344
Persistent link: https://www.econbiz.de/10003941652
Saved in:
4
Bad beta, good beta
Campbell, John Y.
;
Vuolteenaho, Tuomo
- In:
The American economic review
94
(
2004
)
5
,
pp. 1249-1275
Persistent link: https://www.econbiz.de/10002683183
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