Factor volatility spillover and its implications on factor premia
Huai-Long Shi, Wei-Xing Zhou
| Year of publication: |
2022
|
|---|---|
| Authors: | Shi, Huai-Long ; Zhou, Wei-Xing |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 80.2022, p. 1-19
|
| Subject: | Asset pricing | Factor premia | International stock markets | Risk factors | Volatility spillovers | Volatilität | Volatility | CAPM | Spillover-Effekt | Spillover effect | Risikoprämie | Risk premium | Welt | World |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.intfin.2022.101631 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013533171