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Beta and size revisited : evid...
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41
Detecting profitability and investment risk premiums in the French stock market
Chakroun, Amal Zaghouani
;
Hmaied, Dorra Mezzez
- In:
Research in finance
35
(
2019
),
pp. 71-104
Persistent link: https://www.econbiz.de/10012228103
Saved in:
42
Dynamic conditional betas and equity returns
Terregrossa, Salvatore Joseph
;
Eraslan, Veysel
- In:
International journal of financial engineering
7
(
2020
)
4
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012603747
Saved in:
43
Modeling time-varying conditional betas : a comparison of methods with application for REITs
Aloy, Marcel
;
Laly, Floris
;
Laurent, Sébastien
; …
- In:
Recent econometric techniques for macroeconomic and …
,
(pp. 229-264)
.
2021
Beta coefficients are the cornerstone of asset pricing theory in the
CAPM
and multiple factor models. This chapter …
Persistent link: https://www.econbiz.de/10012395467
Saved in:
44
Asymptotics of Cholesky GARCH models and time-varying conditional betas
Darolles, Serge
;
Francq, Christian
;
Laurent, Sébastien
- In:
Journal of econometrics
204
(
2018
)
2
,
pp. 223-247
Persistent link: https://www.econbiz.de/10011974730
Saved in:
45
Factor high-frequency based volatility (HEAVY) models
Sheppard, Kevin
;
Xu, Wen
-
2014
Persistent link: https://www.econbiz.de/10010365630
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46
Factor high-frequency-based volatility (HEAVY) models
Sheppard, Kevin
;
Xu, Wen
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 33-65
Persistent link: https://www.econbiz.de/10012054425
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47
Modelling volatility during the current financial crisis : an empirical analysis of the US and the UK stock markets
Tampakoudis, Ioannis A.
;
Subeniotis, Demetres N.
; …
- In:
International journal of trade and global markets
5
(
2012
)
3/4
,
pp. 171-194
Persistent link: https://www.econbiz.de/10009722142
Saved in:
48
The pricing of the illiquidity factor’s conditional risk with time-varying premium
Amihud, Yakov
;
Noh, Joonki
- In:
Journal of financial markets
56
(
2021
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013282487
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49
Beta, size and returns : a study on the French Stock Exchange
Lilti, Jean-Jacques
- In:
Applied financial economics
8
(
1998
)
1
,
pp. 13-20
Persistent link: https://www.econbiz.de/10001240717
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50
Modeling common volatility characteristics and dynamic risk premia in European equity markets
Koutmos, Gregory
;
Knif, Johan
;
Philippatos, George C.
- In:
The quarterly review of economics and finance : journal …
48
(
2008
)
3
,
pp. 567-578
Persistent link: https://www.econbiz.de/10003747269
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