Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying : a comment
Year of publication: |
1996
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Authors: | Pastorello, Sergio |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 6.1996, 1, p. 111-117
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Subject: | CAPM | Schätztheorie | Estimation theory | Volatilität | Volatility | Risikoprämie | Risk premium |
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