Predicting risk premium under changes in the conditional distribution of stock returns
Year of publication: |
September 2017
|
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Authors: | Sousa, João ; Sousa, Ricardo M. |
Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 50.2017, p. 204-218
|
Subject: | Stock returns | Conditional distribution | Quantile regression | Kapitaleinkommen | Capital income | Risikoprämie | Risk premium | Statistische Verteilung | Statistical distribution | Börsenkurs | Share price | Regressionsanalyse | Regression analysis | Theorie | Theory | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | CAPM |
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