Extending the Fama and French model with a long term memory factor

M.N. López-García, J.E. Trinidad-Segovia, M.A. Sánchez-Granero, I. Pouchkarev

Year of publication:	2021
Authors:	López-García, M. N. ; Trinidad-Segovia, J. E. ; Sánchez-Granero, M. A. ; Pouchkarev, I.
Published in:	European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 291.2021, 2 (1.6.), p. 421-426
Subject:	APT \| Factor \| Factor model \| Hurst \| Long memory \| CAPM \| Theorie \| Theory \| Zeitreihenanalyse \| Time series analysis \| Faktorenanalyse \| Factor analysis \| Kapitaleinkommen \| Capital income \| Arbitrage Pricing \| Arbitrage pricing \| Volatilität \| Volatility

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