Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing
Year of publication: |
2020
|
---|---|
Authors: | Asgharian, Hossein ; Christiansen, Charlotte ; Hou, Ai Jun ; Wang, Weining |
Publisher: |
Berlin : Humboldt-Universität zu Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" |
Subject: | long-run betas | short-run betas | risk premia | business cycles | component GARCH model | MIDAS |
Series: | IRTG 1792 Discussion Paper ; 2020-020 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | hdl:10419/230826 [Handle] RePEc:zbw:irtgdp:2020020 [RePEc] |
Classification: | G12 - Asset Pricing ; c58 ; C51 - Model Construction and Estimation |
Source: |
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