A conditionally heteroskedastic independent factor model with an application to financial stock returns
Antonio García-Ferrer; Ester González-Prieto; Daniel Peña
| Year of publication: |
2012
|
|---|---|
| Authors: | García-Ferrer, Antonio ; González-Prieto, Ester ; Peña, Daniel |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 28.2012, 1, p. 70-93
|
| Subject: | Kapitaleinkommen | Capital income | Theorie | Theory | Faktorenanalyse | Factor analysis | Zeitreihenanalyse | Time series analysis | Heteroskedastizität | Heteroscedasticity | ARCH-Modell | ARCH model | Schätzung | Estimation | Börsenkurs | Share price | CAPM |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009582082