Showing 1 - 10 of 90
Persistent link: https://www.econbiz.de/10012305837
This paper extends the classic factor-based asset pricing model by including network linkages in linear factor models. We assume that the network linkages are exogenously provided. This extension of the model allows a better understanding of the causes of systematic risk and shows that (i)...
Persistent link: https://www.econbiz.de/10011598385
Persistent link: https://www.econbiz.de/10011628996
Persistent link: https://www.econbiz.de/10009537230
Persistent link: https://www.econbiz.de/10009779255
assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an …
Persistent link: https://www.econbiz.de/10010407672
Persistent link: https://www.econbiz.de/10010371985
Persistent link: https://www.econbiz.de/10003376752
Persistent link: https://www.econbiz.de/10014343115
rolling estimation approaches and robust Sharpe ratio testing we determine if during different market volatility states …
Persistent link: https://www.econbiz.de/10013103959