Showing 1 - 10 of 24,271
Persistent link: https://www.econbiz.de/10000877958
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/10003821063
Persistent link: https://www.econbiz.de/10010517781
Persistent link: https://www.econbiz.de/10011282864
Persistent link: https://www.econbiz.de/10010528953
Persistent link: https://www.econbiz.de/10009710165
Persistent link: https://www.econbiz.de/10009760654
Persistent link: https://www.econbiz.de/10010351546
Persistent link: https://www.econbiz.de/10011481381
Persistent link: https://www.econbiz.de/10011481716