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even slightly better. -- asset pricing ; characteristics ; risk factors ; multifactor models ; Germany …
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This paper presents theoretical models and their empirical results for the return and variance dynamics of German stocks. A factor structure is used in order to allow for a parsimonious modeling of the first two moments of returns. Dynamic factor models with GARCH dynamics (GARCH(1,1)-M,...
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In this paper we analyze transitions in the stock markets of the US, the UK, and Germany. For all this markets we find …
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