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  • Search: subject_exact:"Capital asset pricing model"
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Year of publication
Subject
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CAPM 19,516 Theorie 10,204 Theory 10,153 Capital income 5,418 Kapitaleinkommen 5,418 Portfolio-Management 4,725 Portfolio selection 4,719 Börsenkurs 4,440 Share price 4,429 Risikoprämie 3,277 Risk premium 3,264 Schätzung 2,897 Estimation 2,879 Risk 2,622 Risiko 2,611 Volatilität 1,872 Volatility 1,862 Aktienmarkt 1,673 Stock market 1,652 USA 1,617 United States 1,596 Anlageverhalten 1,369 Behavioural finance 1,360 Optionspreistheorie 1,314 Option pricing theory 1,300 Betafaktor 1,262 Beta risk 1,260 Finanzmarkt 1,155 Financial market 1,150 Kapitalmarktrendite 1,003 Capital market returns 1,002 Welt 885 World 880 Kapitalmarkttheorie 869 Financial economics 845 Stochastischer Prozess 828 Stochastic process 822 Zinsstruktur 808 Yield curve 806 Schätztheorie 773
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Online availability
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Free 7,123 Undetermined 4,060 CC license 204
Type of publication
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Article 10,364 Book / Working Paper 9,413 Journal 17 Other 3
Type of publication (narrower categories)
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Article in journal 9,596 Aufsatz in Zeitschrift 9,596 Graue Literatur 3,312 Non-commercial literature 3,312 Working Paper 3,183 Arbeitspapier 3,089 Hochschulschrift 700 Thesis 584 Aufsatz im Buch 527 Book section 527 Collection of articles written by one author 155 Sammlung 155 Bibliografie enthalten 108 Bibliography included 108 Collection of articles of several authors 99 Sammelwerk 99 Lehrbuch 98 Textbook 88 Aufsatzsammlung 52 Systematic review 44 Übersichtsarbeit 44 Conference paper 42 Konferenzbeitrag 42 Konferenzschrift 41 Glossar enthalten 29 Glossary included 29 Forschungsbericht 28 research-article 23 Conference proceedings 21 Reprint 16 Article 11 Handbook 11 Handbuch 11 Amtsdruckschrift 10 Government document 10 Rezension 10 Mehrbändiges Werk 6 Mikroform 6 Multi-volume publication 6 Bibliografie 5
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Language
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English 18,901 German 570 Undetermined 128 Spanish 71 French 66 Italian 30 Portuguese 13 Danish 7 Polish 5 Swedish 3 Czech 2 Norwegian 2 Afrikaans 1 Hungarian 1 Indonesian 1 Dutch 1
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Author
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Zaremba, Adam 81 Campbell, John Y. 80 Zhang, Lu 76 Fabozzi, Frank J. 66 Ferson, Wayne E. 66 Harvey, Campbell R. 64 Jarrow, Robert A. 62 Stambaugh, Robert F. 59 Cochrane, John H. 57 Bali, Turan G. 55 Bekaert, Geert 54 Hens, Thorsten 54 Hansen, Lars Peter 52 Robotti, Cesare 52 Jagannathan, Ravi 50 Kan, Raymond 49 Lo, Andrew W. 48 He, Xue-zhong 46 Lee, Cheng F. 46 Cakici, Nusret 45 Zhou, Guofu 45 Faff, Robert W. 44 Madan, Dilip B. 43 Kelly, Bryan T. 42 Kogan, Leonid 42 Lustig, Hanno 40 Polk, Christopher 38 Ang, Andrew 37 Lettau, Martin 37 Fama, Eugene F. 35 Shanken, Jay 35 Bansal, Ravi 34 Duffie, Darrell 34 Guo, Hui 34 Hull, John 34 Prokopczuk, Marcel 34 Hommes, Cars H. 33 Satchell, Stephen 33 Chiarella, Carl 32 Guidolin, Massimo 32
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Institution
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National Bureau of Economic Research 407 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 11 Ekonomiska forskningsinstitutet <Stockholm> 10 Federal Reserve Bank of St. Louis 9 Institute of Finance and Accounting <London> 9 University of Chicago / Center for Research in Security Prices 8 Centre for Analytical Finance <Århus> 7 Chambre de commerce et d'industrie de Paris 7 Erasmus Research Institute of Management 7 International Monetary Fund (IMF) 7 Centre for Economic Policy Research 6 Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio> 6 Deutsche Forschungsgemeinschaft 6 Rodney L. White Center for Financial Research 6 Ecole des hautes études commerciales <Lausanne> / Département d'économétrie et d'économie politique 5 Federal Reserve System / Division of Research and Statistics 5 Scuola superiore Sant'Anna di studi universitari e di perfezionamento / Laboratory of Economics and Management 5 Sonderforschungsbereich 303 - Information und die Koordination Wirtschaftlicher Aktivitäten, Universität Bonn 5 Svenska Handelshögskolan <Helsinki> 5 American Finance Association 4 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 4 Federal Reserve Bank of San Francisco 4 Federal Reserve System / Board of Governors 4 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 4 Springer Fachmedien Wiesbaden 4 Stanford Institute for Economic Policy Research 4 Center for Economic Research <Tilburg> 3 Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ) 3 Escola de Pós-Graduação em Economia <Rio de Janeiro> 3 Institut for Finansiering <Frederiksberg> 3 Instituto Valenciano de Investigaciones Económicas 3 International Center for Financial Asset Management and Engineering 3 Københavns Universitet / Økonomisk Institut 3 Lunds Universitet / Nationalekonomiska Institutionen 3 Sonderforschungsbereich 303 Information und die Koordination wirtschaftlicher Aktivitäten, Universität Bonn 3 The Wharton Financial Institutions Center 3 Universitat Pompeu Fabra / Departament d'Economia i Empresa 3 University of British Columbia / Finance Division 3 University of Hong Kong / School of Economics and Finance 3 University of York / Department of Economics and Related Studies 3
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Published in...
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NBER working paper series 394 Working paper / National Bureau of Economic Research, Inc. 331 Journal of financial economics 313 Journal of banking & finance 296 NBER Working Paper 286 The journal of finance : the journal of the American Finance Association 253 The review of financial studies 225 Finance research letters 201 Journal of empirical finance 182 Journal of economic dynamics & control 172 International review of financial analysis 136 Journal of financial and quantitative analysis : JFQA 134 Management science : journal of the Institute for Operations Research and the Management Sciences 124 Economics letters 120 Pacific-Basin finance journal 116 International review of economics & finance : IREF 111 Research paper series / Swiss Finance Institute 106 Discussion paper / Centre for Economic Policy Research 99 Applied economics 95 Journal of econometrics 93 Mathematical finance : an international journal of mathematics, statistics and financial theory 93 International journal of theoretical and applied finance 92 The European journal of finance 92 Economic modelling 90 Journal of international money and finance 89 Journal of international financial markets, institutions & money 88 Review of quantitative finance and accounting 86 Working paper 85 The North American journal of economics and finance : a journal of financial economics studies 79 Applied financial economics 77 The journal of futures markets 77 Finance and stochastics 76 Journal of monetary economics 74 Discussion papers / CEPR 71 Quantitative finance 67 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 67 Journal of economic theory 66 Annals of finance 63 Research in international business and finance 61 The journal of real estate finance and economics 59
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Source
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ECONIS (ZBW) 19,493 RePEc 153 EconStor 105 Other ZBW resources 32 BASE 8 USB Cologne (EcoSocSci) 5 ArchiDok 1
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Showing 1 - 50 of 19,797
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A case study of bank equity valuation methods employed by South African, Nigerian and Kenyan equity researchers
Moyo, Vusani; Obadire, Ayodeji Michael - In: Risks : open access journal 12 (2024) 6, pp. 1-22
The valuation of banks is inherently complicated because of the uncertainties arising from their information opaqueness and inherent risks. Unlike non-banking firms, banks require specialised equity-side valuation approaches. This study addresses a gap in the literature by examining valuation...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014636772
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Pricing ability of Carhart Four-Factor and Fama-French Three-Factor models : empirical evidence from Morocco
Benali, Mimoun; Lahboub, Karima; El Bouhadi, Abdelhamid - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-14
In this study, the reliability of the Fama-French Three-Factor model (FF3F) and the Carhart Four-Factor model (C4F) is examined thoroughly. In order to determine which of the asset pricing models is the best to explain portfolio returns on the Moroccan share market, these two models are indeed...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013548909
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Towards a deeper comprehension of unlevered betas in emerging markets : Gordon and a regression stock valuation model
Arana Barbier, Pablo José - In: International journal of economic policy in emerging … 17 (2023) 4, pp. 586-599
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014340073
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Tracking "pure" systematic risk with realized betas for bitcoin and ethereum
Sanhaji, Bilel; Chevallier, Julien - In: Econometrics : open access journal 11 (2023) 3, pp. 1-36
Using the capital asset pricing model, this article critically assesses the relative importance of computing 'realized' betas from high-frequency returns for Bitcoin and Ethereum-the two major cryptocurrencies-against their classic counterparts using the 1-day and 5-day return-based betas. The...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014425687
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Six-factor plus intellectual capital in the capital asset pricing model and excess stock return : empirical evidence in emerging stock markets
Maharani, Astrid; Narsa, I Made - In: Cogent economics & finance 11 (2023) 2, pp. 1-17
This study expands previous research by adding intellectual capital to the capital asset pricing model and deepening the measurement of intellectual capital using more comprehensive proxies. This study is novel in that it is related to evaluation according to market developments using tests on...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014502990
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Whether consumer satisfaction benefits the investment portfolio : empirical evidence from hong kong
Li, Jin; Tso, Geoffrey; Wu, Chi Wai - In: The Singapore economic review 68 (2023) 2, pp. 485-506
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014279285
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A comparison of competing asset pricing models : empirical evidence from Pakistan
Thalassinos, Eleftherios; Khan, Naveed; Ahmed, Shakeel; … - In: Risks : open access journal 11 (2023) 4, pp. 1-24
In recent years, the rapid and significant development of emerging markets has globally led to insight from potential investors and academicians seeking to assess these markets in terms of risk inheritance. Therefore, this study aims to explore the validity and applicability of the capital asset...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014303660
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The pricing kernel under proportional ambiguity
Spengemann, Marco - 2025
The pricing kernel is an important tool for understanding asset prices, expected returns, and investor preferences. However, empirical findings often reveal deviations from theoretical predictions, leading to the so-called "pricing kernel puzzle". This article explores the pricing kernel under...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015192948
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Introducing shrinkage in heavy-tailed state space models to predict equity excess returns
Huber, Florian; Kastner, Gregor; Pfarrhofer, Michael - In: Empirical economics : a quarterly journal of the … 68 (2025) 2, pp. 535-553
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015193830
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Investor clientele and intraday patterns in the cross section of stock returns
Chen, Jian; Haboub, Ahmad; Khan, Ali; Mahmud, Syed - In: Review of quantitative finance and accounting 64 (2025) 2, pp. 757-797
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015194606
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Artificial intelligence asset pricing models
Kelly, Bryan T.; Kuznetsov, Boris; Malamud, Semyon; Xu, … - 2025 - This version: December 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015196776
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Are cryptocurrencies priced in the cross-section? : a portfolio approach
Assamoi, Vincent K.; Ekponon, Adelphe; Guo, Zihan - In: Finance research letters 71 (2025), pp. 1-11
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Climate-linked bonds
Broeders, Dirk; Dimitrov, Daniel; Verhoeven, Niek - 2025
Climate-linked bonds, issued by governments and supranational organizations, are pivotal in advancing towards a net-zero economy. These bonds adjust their payoffs based on climate variables such as average temperature and greenhouse gas emissions, providing investors a hedge against long-term...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015181854
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Measuring economic distress using the contingent claims approach
Castrén, Olli; Kopp, Raphael M. - 2025
We introduce a new Economic Distress Index (EDI), which incorporates information from all economic sectors as a device for real-time monitoring of financial stability risks in the euro area. Our approach is based on structural models of credit risk and incorporates market and balance sheet...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015203202
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A Bayesian stochastic discount factor for the cross-section of individual equity options
Käfer, Niclas; Mörke, Mathis; Weigert, Florian; … - 2025 - This version: April 23, 2024
We utilize Bayesian model averaging to estimate a stochastic discount factor (SDF) for single-stock options. A Bayesian model averaging SDF outperforms reduced-form benchmark models in-sample and out-of-sample in pricing option return anomalies and portfolios. We document that the SDF is dense...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015204018
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What are asset price bubbles? : a survey on definitions of financial bubbles
Baumann, Michael; Janischewski, Anja - 2025
Financial bubbles and crashes have repeatedly caused economic turmoil notably but not only during the 2008 financial crisis. However, both in the popular press as well as scientific publications, the meaning of bubble is sometimes unspecified. Due to the multitude of bubble definitions, we...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015207173
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German inflation-linked bonds : overpriced, yet undervalued
Christensen, Jens H. E.; Mouabbi, Sarah; Paulson, Caroline - 2025 - This version: January 30, 2025
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Natural disasters and real asset prices : what can we learn from tornados?
Cohen, Jeffrey P.; Gutkowski, Violeta - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015210580
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"Good" inflation, "bad" inflation : implications for risky asset prices
Bonelli, Diego; Palazzo, Berardino; Yamarthy, Ram S. - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015271346
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Belief-neutral efficiency in financial markets
Beißner, Patrick; Riedel, Frank - 2025
Heterogeneous beliefs among market participants can lead to questionable speculative trading that goes beyond any risk-sharing motives. We demonstrate that such unwarranted betting behavior in market equilibrium can be mitigated by introducing nonlinear pricing for ambiguous contracts, without...
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On asset pricing in a binomial model with fixed and proportional transaction costs, portfolio constraints and dividends
Babaei, Esmaeil - In: Mathematical methods of operations research : ZOR 101 (2025) 1, pp. 29-50
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Idiosyncratic volatility and the cross-section of abnormal returns in Pakistan : evidence from a country with religious bans on lotteries and substantive institutional investor participation
Khurram, Muhammad Usman; Ali, Fahad; Ülkü, Numan - In: International review of economics & finance : IREF 98 (2025), pp. 1-22
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The green premium in the European stock market
Ferraboschi, Paola; Muzzioli, Silvia - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015328951
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Appraising model complexity in option pricing
Cummins, Mark; Esposito, Francesco - 2025
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Stocks as lotteries? : an experimental test of expected utility vs behavioral models
Corgnet, Brice; Kpegli, Yao Thibaut; Magnani, Jacopo - 2025
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Diverging roads : theory-based vs. machine learning-implied stock risk premia
Grammig, Joachim; Hanenberg, Constantin; Schlag, Christian - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015339820
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Tradable risk factors for institutional and retail investors
Johansson, Andreas; Sabbatucci, Riccardo; Tamoni, Andrea - 2025
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A test of the efficiency of a given portfolio in high dimensions
Chernov, Mikhail; Kelly, Bryan T.; Malamud, Semyon; … - 2025 - This version: March 13, 2025
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Shareholder engagement in an ESG-CAPM with incomplete markets : much ado about nothing?
Hara, Chiaki; Hens, Thorsten - 2025
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A novel nature-based risk index : application to acute risks and their financial materiality on corporate bonds
Cherief, Amina; Sekine, Takaya; Stagnol, Lauren - In: Ecological economics 228 (2025), pp. 1-10
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The biodiversity premium
Coqueret, Guillaume; Giroux, Thomas; Zerbib, Olivier David - In: Ecological economics 228 (2025), pp. 1-14
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The fundamental theorem of asset pricing with and without transaction costs
Kühn, Christoph - 2025
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Momentum mechanisms under heterogeneous beliefs
Yan, Yu; Tong, Yan; Wang, Yiming - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015359778
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A common component of Fama and French factor variances
Fathi, Masoumeh; Grobys, Klaus; Äijö, Janne - 2025
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Time-varying risk aversion and international stock returns
Guidolin, Massimo; Hansen, Erwin; Cabrera, Gabriel - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015338080
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Shareholder engagement in an ESG-CAPM with incomplete markets : much ado about nothing?
Hara, Chiaki; Hens, Thorsten - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015375411
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Zero-beta risks and required returns : ESG and CAPM
Johnstone, David; Grant, Andrew - 2025
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Projects with no cost of capital
Levy, Moshe - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015396007
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Higher order expectations, learning, and sentiment pricing dynamics
Li, Jinfang - 2025
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Margin constraints and asset prices
Ahn, Jungkyu - 2025
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Tobin's Q and shareholder value : does "shareholder return" impede investment?
Piluso, Nicolas - In: Review of financial economics : RFE 43 (2025) 1, pp. 3-7
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Causal network representations in factor investing
Howard, Clint; Lohre, Harald; Mudde, Sebastiaan - In: Intelligent systems in accounting, finance & management 32 (2025) 1, pp. 1-23
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Asset pricing in a country embracing religious beliefs and social norms : evidence from the Indonesian stock market
Gunawan, Ridwan; Nakajima, Katsushi - In: Borsa Istanbul Review 25 (2025) 2, pp. 227-239
The debate surrounding the financial performance of Shariah compliance (SC) and socially-responsible (SR) investments versus traditional ones remains controversial. This study pioneers an examination of this issue within Indonesia, a country where SC Investments (SCIs) and SR Investments (SRIs)...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015334602
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Asset pricing anomalies : the case of dividends in the US for Sharia-compliant firms
Halim, Asyraf bin Abdul; Edil bin Abd Sukor, Mohd - In: Borsa Istanbul Review 25 (2025) 2, pp. 253-264
This paper investigates asset pricing anomalies in sharia-compliant (SC) stocks in the US market, focusing on whether dividend-oriented strategies can yield significant alphas. SC stocks adhere to Islamic principles, avoiding activities such as the production and sale of alcoholic beverages,...
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When to bet against beta? : ask Google
Piccoli, Pedro - In: Borsa Istanbul Review 25 (2025) 2, pp. 374-387
In this paper, I document that investor attention negatively predicts betting against beta returns. Using Google Search Volumes toward US market indices as my proxy to attention, I find that this relation holds after controlling for competitive factors and different search terminologies and in...
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An information-theoretic asset pricing model
Ghosh, Anisha; Julliard, Christian; Taylor, Alex P. - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015339156
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A sparse approximate factor model for high-dimensional covariance matrix estimation and portfolio selection
Daniele, Maurizio; Pohlmeier, Winfried; Zagidullina, Aygul - 2025
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Navigating information imperfections in commercial real estate pricing
Hoesli, Martin - 2025
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Forecasting beta using ultra high frequency data
Zhou, Jian - In: Journal of forecasting 44 (2025) 2, pp. 485-496
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Estimating the inflation risk premium
Feunou, Bruno; Kumar, Gitanjali - 2025
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