A new Fama-French 5-factor model based on SSAEPD error and GARCH-type volatility
Wentao Zhou, Liuling Li
| Year of publication: |
November 2016
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|---|---|
| Authors: | Zhou, Wentao ; Li, Liuling |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 6.2016, 5, p. 711-727
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| Subject: | Fama-French 5 -Factor Model ( FF5) | Standardized Standard Asymmetric Exponential Power Distribution (SSAEPD) | GARCH | Asset Pricing | Volatilität | Volatility | ARCH-Modell | ARCH model | Theorie | Theory | CAPM | Statistische Verteilung | Statistical distribution | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4236/jmf.2016.65050 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011657593