Macroeconomic factors strike back : a Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section
Daniele Bianchi, Massimo Guidolin, Francesco Ravazzolo
| Year of publication: |
January 2017
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| Authors: | Bianchi, Daniele ; Guidolin, Massimo ; Ravazzolo, Francesco |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 35.2017, 1, p. 110-129
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| Subject: | Asset pricing | Multi-factor linear models | Stochastic volatility | Structural breaks | CAPM | Strukturbruch | Structural break | USA | United States | Volatilität | Volatility | Modellierung | Scientific modelling | Stochastischer Prozess | Stochastic process | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2015.1061436 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011704120