Similar Search Results - EconBiz

The impact of network connectivity on factor exposures, asset pricing and portfolio diversification

Billio, Monica; Caporin, Massimiliano; Panzica, Roberto … - In: Network connectivity, systematic and systemic risk, (pp. 9-51). 2018

Persistent link: https://www.econbiz.de/10012305837

The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification

Billio, Monica; Caporin, Massimiliano; Panzica, Roberto … - In: International review of economics & finance : IREF 84 (2023), pp. 196-223

Persistent link: https://www.econbiz.de/10014343115

The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification

Billio, Monica - 2017

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/10012963394

The impact of network connectivity on factor exposures, asset pricing and portfolio diversification

Billio, Monica; Caporin, Massimiliano; Panzica, Roberto … - 2017 - This version: October 2016

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

Fat tails, long memory, and the stock market since the 1960's

Lo, Andrew W. - In: Economic notes : economic review of Banca Monte dei … 26 (1997) 2, pp. 213-246

Persistent link: https://www.econbiz.de/10001337764

Statistical tests of contingent claims asset pricing models : a new methodology

Lo, Andrew W. - In: Journal of financial economics 17 (1986) 1, pp. 143-173

Persistent link: https://www.econbiz.de/10001015108

Dynamic alpha : a spectral decomposition of investment performance across time horizons

Chaudhuri, Shomesh E.; Lo, Andrew W. - In: Management science : journal of the Institute for … 65 (2019) 9, pp. 4440-4450

Persistent link: https://www.econbiz.de/10012118591

Spectral factor models

Bandi, Federico M.; Chaudhuri, Shomesh E.; Lo, Andrew W.; … - In: Journal of financial economics 142 (2021) 1, pp. 214-238

Persistent link: https://www.econbiz.de/10012650703

The econometrics of financial markets

Campbell, John Y.; Lo, Andrew W.; MacKinlay, Archie Craig - 1997 - 2. printing, with corrections

Persistent link: https://www.econbiz.de/10000592406

Data-snooping biases in tests of financial asset pricing models

Lo, Andrew W.; MacKinlay, Archie Craig - 1989

Persistent link: https://www.econbiz.de/10000770623

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