Cross-section without factors : a string model for expected returns
Walter Distaso, Antonio Mele and Grigory Vilkov
| Year of publication: |
2024
|
|---|---|
| Authors: | Distaso, Walter ; Mele, Antonio ; Vilkov, Grigory |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 24.2024, 6, p. 693-718
|
| Subject: | Arbitrage pricing | Big stocks | Correlation premium | Cross-section of returns | Implied correlation | Premium for correlation risk | String models | Korrelation | Correlation | Kapitaleinkommen | Capital income | Theorie | Theory | CAPM | Schätzung | Estimation | Risikoprämie | Risk premium | Portfolio-Management | Portfolio selection | Arbitrage Pricing |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2024.2357189 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015050788