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~person:"Bouri, Elie"
~person:"Engle, Robert F."
~person:"Fabozzi, Frank J."
~subject:"CAPM"
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CAPM
Capital income
153
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153
Volatility
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54
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54
Estimation
49
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Bouri, Elie
Engle, Robert F.
Fabozzi, Frank J.
Zaremba, Adam
82
Cakici, Nusret
42
Stambaugh, Robert F.
36
Harvey, Campbell R.
35
Bekaert, Geert
30
Bali, Turan G.
27
Guo, Hui
27
Ferson, Wayne E.
26
Zhou, Guofu
24
Sehgal, Sanjay
20
Zhang, Lu
20
Kelly, Bryan T.
18
Engstrom, Eric
17
Fletcher, Jonathan
17
Jagannathan, Ravi
16
Lettau, Martin
16
Nitschka, Thomas
16
Pástor, Ľuboš
16
Campbell, John Y.
15
Kogan, Leonid
15
Long, Huaigang
15
Jacobs, Kris
14
Reeves, Jonathan J.
14
Santa-Clara, Pedro
14
Veeraraghavan, Madhu
14
Cochrane, John H.
13
Hodrick, Robert J.
13
Pesaran, M. Hashem
13
Schlag, Christian
13
Ang, Andrew
12
Cotter, John
12
Drew, Michael E.
12
Fama, Eugene F.
12
Grammig, Joachim
12
Grobys, Klaus
12
Kandel, Shmuel
12
Mark, Nelson C.
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International review of financial analysis
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
17
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11
A flexible approach to estimate the equity premium
Bonaparte, Yosef
;
Fabozzi, Frank J.
- In:
Applied economics
49
(
2017
)
59
,
pp. 5940-5950
Persistent link: https://www.econbiz.de/10011845875
Saved in:
12
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
Saved in:
13
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:
14
Book-to-market and the cross-section of expected returns in international stock markets
Bali, Turan G.
;
Cakici, Nusret
;
Fabozzi, Frank J.
- In:
The journal of portfolio management : a publication of …
39
(
2013
)
2
,
pp. 101-115
Persistent link: https://www.econbiz.de/10009708215
Saved in:
15
Size, value, and momentum in emerging market stock returns
Cakici, Nusret
;
Fabozzi, Frank J.
;
Tan, Sinan
- In:
Emerging markets review
16
(
2013
),
pp. 46-65
Persistent link: https://www.econbiz.de/10010243168
Saved in:
16
The role of jump dynamics in the risk-return relationship
Arshanapalli, Bala Gangadhar
;
Fabozzi, Frank J.
; …
- In:
International review of financial analysis
29
(
2013
),
pp. 212-218
Persistent link: https://www.econbiz.de/10010244955
Saved in:
17
Fractals or I.I.D. : evidence of long-range dependence and heavy tailedness from modeling German equity market returns
Sun, Wei
;
Račev, Svetlozar T.
;
Fabozzi, Frank J.
- In:
Journal of economics & business
59
(
2007
)
6
,
pp. 575-595
Persistent link: https://www.econbiz.de/10003615737
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