Dynamics of equity factor returns and asset pricing
Stoyan V. Stoyanov and Francesco A. Fabozzi
| Year of publication: |
2021
|
|---|---|
| Authors: | Stoyanov, Stoyan V. ; Fabozzi, Francesco A. |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 19.2021, 1, p. 178-201
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| Subject: | equity factors | volatility clustering | correlation dynamics | tail thickness | asset pricing | CAPM | Volatilität | Volatility | Kapitaleinkommen | Capital income | Theorie | Theory | Börsenkurs | Share price | Korrelation | Correlation | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Aktienmarkt | Stock market | Risikoprämie | Risk premium |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbaa031 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012504326