Showing 1 - 10 of 58
We propose a new approach to model high- and low-frequency components of equity correlations. Our framework combines a factor asset pricing structure with other specifications capturing dynamic properties of volatilities and covariances between a single common factor and idiosyncratic returns....
Persistent link: https://www.econbiz.de/10013093890
Persistent link: https://www.econbiz.de/10000613076
Persistent link: https://www.econbiz.de/10001633554
Persistent link: https://www.econbiz.de/10011623818
Persistent link: https://www.econbiz.de/10001449346
Persistent link: https://www.econbiz.de/10001437341
Persistent link: https://www.econbiz.de/10000841625
Persistent link: https://www.econbiz.de/10000786474
Persistent link: https://www.econbiz.de/10000899195
Persistent link: https://www.econbiz.de/10000904213