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Capital income
Beta risk
15
Betafaktor
15
CAPM
15
Kapitaleinkommen
9
Risikoprämie
9
Risk premium
9
Conditional beta
7
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7
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7
conditional beta
7
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5
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5
Börsenkurs
5
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5
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5
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5
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5
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5
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4
Correlation
4
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4
Portfolio selection
4
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4
dynamic conditional beta
4
Aktienmarkt
3
Conditional Beta
3
Risikomaß
3
Risk measure
3
Stock market
3
Volatility
3
Volatilität
3
and expected stock returns
3
Analysis of variance
2
Conditional Covariance
2
Dynamic conditional beta
2
Financial crisis
2
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2
Finanzdienstleistung
2
Finanzkrise
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Sheppard, Kevin
2
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Bali, Turan G.
1
Chung, Y. Peter
1
Engle, Robert F.
1
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1
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1
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1
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1
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1
Lecourt, Christelle
1
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ECONIS (ZBW)
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1
Modeling time-varying conditional betas : a comparison of methods with application for REITs
Aloy, Marcel
;
Laly, Floris
;
Laurent, Sébastien
; …
- In:
Recent econometric techniques for macroeconomic and …
,
(pp. 229-264)
.
2021
autoregressive
conditional
beta
models outperform the other methods. …
Persistent link: https://www.econbiz.de/10012395467
Saved in:
2
The pricing of the illiquidity factor’s conditional risk with time-varying premium
Amihud, Yakov
;
Noh, Joonki
- In:
Journal of financial markets
56
(
2021
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013282487
Saved in:
3
Dynamic conditional betas and equity returns
Terregrossa, Salvatore Joseph
;
Eraslan, Veysel
- In:
International journal of financial engineering
7
(
2020
)
4
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012603747
Saved in:
4
What causes the asymmetric correlation in stock returns?
Chung, Y. Peter
;
Hong, Hyun A.
;
Kim, S. Thomas
- In:
Journal of empirical finance
54
(
2019
),
pp. 190-212
Persistent link: https://www.econbiz.de/10012174849
Saved in:
5
Factor high-frequency-based volatility (HEAVY) models
Sheppard, Kevin
;
Xu, Wen
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 33-65
Persistent link: https://www.econbiz.de/10012054425
Saved in:
6
Factor high-frequency based volatility (HEAVY) models
Sheppard, Kevin
;
Xu, Wen
-
2014
Persistent link: https://www.econbiz.de/10010365630
Saved in:
7
The asymmetric
conditional
beta
-return relations of reits
Glascock, John Leslie
;
Lu-Andrews, Ran
- In:
The journal of real estate finance and economics
57
(
2018
)
2
,
pp. 231-245
Persistent link: https://www.econbiz.de/10012038865
Saved in:
8
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:
9
The role of sentiment in global risk premia
Keiber, Karl Ludwig
;
Samyschew, Helene
- In:
Applied economics
47
(
2015
)
19/21
,
pp. 2073-2091
Persistent link: https://www.econbiz.de/10010513348
Saved in:
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