Pitfalls in VAR based return decompositions : a clarification
Tom Engsted; Thomas Q. Pedersen; Carsten Tanggaard
| Year of publication: |
2012
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|---|---|
| Authors: | Engsted, Tom ; Pedersen, Thomas Q. ; Tanggaard, Carsten |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 36.2012, 5, p. 1255-1265
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| Subject: | Theorie | Theory | Dekompositionsverfahren | Decomposition method | VAR-Modell | VAR model | Zeitreihenanalyse | Time series analysis | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009614553