Multi-factor volatility and stock returns
Zhongzhi (Lawrence) He, Jie Zhu, Xiaoneng Zhu
| Year of publication: |
December 2015
|
|---|---|
| Authors: | He, Zhongzhi ; Zhu, Jie ; Zhu, Xiaoneng |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 61.2015, 2, p. 132-149
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| Subject: | Multi-factor volatility | Cross-sectional returns | Out-of-sample predictability | Asset allocation | Volatilität | Volatility | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Prognoseverfahren | Forecasting model | Theorie | Theory | CAPM | Schätzung | Estimation | Kapitalmarktrendite | Capital market returns | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2015.09.013 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011585515