A spectral perspective on excess volatility
Giacomo Livan, Simone Alfarano, Mishael Milaković and Enrico Scalas
| Year of publication: |
2015
|
|---|---|
| Authors: | Livan, Giacomo ; Alfarano, Simone ; Milaković, Mishael ; Scalas, Enrico |
| Published in: |
Applied economics letters. - Abingdon : Routledge, ISSN 1350-4851, ZDB-ID 1181036-1. - Vol. 22.2015, 7/9, p. 745-750
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| Subject: | excess volatility | excess comovement | random matrix theory | profit rate | return on assets | Volatilität | Volatility | Kapitaleinkommen | Capital income | Korrelation | Correlation | Börsenkurs | Share price | Rentabilität | Profitability | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory |
| 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/10010530017