Modeling the cross-section of stock returns using sensible models in a model pool
Year of publication: |
2021
|
---|---|
Authors: | Chiang, I-Hsuan Ethan ; Liao, Yin ; Zhou, Qing |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 60.2021, p. 56-73
|
Subject: | Asset pricing model | Joint density forecast | Model confidence set | Model pooling | Model selection | Model uncertainty | Prognoseverfahren | Forecasting model | Modellierung | Scientific modelling | CAPM | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection |
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