Forecasting realized betas using predictors indicating structural breaks and asymmetric risk effects
Jiawen Luo, Zhenbiao Chen, Mingmian Cheng
| Year of publication: |
2025
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| Authors: | Luo, Jiawen ; Chen, Zhenbiao ; Cheng, Mingmian |
| Published in: |
Journal of empirical finance. - [Erscheinungsort nicht ermittelbar] : Elsevier Science, ISSN 0927-5398, ZDB-ID 1496810-1. - Vol. 80.2025, Art.-No. 101575, p. 1-24
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| Subject: | Realized beta | Structural break | Asymmetric risk | HAR model | LASSO | Strukturbruch | Betafaktor | Beta risk | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Risiko | Risk | Kapitaleinkommen | Capital income |
| Description of contents: | Description [doi.org] |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2024.101575 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015329724