Analysis of the effect of index futures on stock market with a new Fama-French 3-factor model
Xinyue Bei; Yanjia Yang; Liuling Li; Bruce Mizrach
| Year of publication: |
2014
|
|---|---|
| Authors: | Bei, Xinyue ; Yang, Yanjia ; Li, Liuling ; Mizrach, Bruce Marshall |
| Published in: |
Theoretical economics letters. - Irvine, Calif. : Scientific Research, ISSN 2162-2078, ZDB-ID 2657454-8. - Vol. 4.2014, 9, p. 748-759
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| Subject: | Index Futures | Fama-French 3-Factor Model | SSAEPD (Standardized Standard Asymmetric Exponential Power Distribution) | EGARCH | Index-Futures | Index futures | Theorie | Theory | Börsenkurs | Share price | ARCH-Modell | ARCH model | Aktienmarkt | Stock market | Aktienindex | Stock index |
| 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://ebvufind01.dmz1.zbw.eu/10010531254