Monthly beta forecasting with low-, medium- and high-frequency stock returns
Tolga Cenesizoglu, Qianqiu Liu, Jonathan J. Reeves and Haifeng Wu
| Year of publication: |
September 2016
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|---|---|
| Authors: | Cenesizoglu, Tolga ; Liu, Qianqiu ; Reeves, Jonathan J. ; Wu, Haifeng |
| Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 35.2016, 6, p. 528-541
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| Subject: | CAPM | portfolio optimization | systematic risk | time-series modeling | Portfolio-Management | Portfolio selection | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Betafaktor | Beta risk | Theorie | Theory | Prognoseverfahren | Forecasting model | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.2396 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011595959