Showing 1 - 10 of 54
Persistent link: https://www.econbiz.de/10000800637
Persistent link: https://www.econbiz.de/10000634580
Persistent link: https://www.econbiz.de/10000694895
Persistent link: https://www.econbiz.de/10003851615
Persistent link: https://www.econbiz.de/10008807774
Persistent link: https://www.econbiz.de/10011430169
Persistent link: https://www.econbiz.de/10011434778
This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks. I introduce an affine jump-diffusion model, which accounts for both the factor structure of asset returns and that of the variance of idiosyncratic returns. The estimation is...
Persistent link: https://www.econbiz.de/10011410917
Persistent link: https://www.econbiz.de/10003020678
Persistent link: https://www.econbiz.de/10003020705