Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios.
Year of publication: |
2005-07
|
---|---|
Authors: | Beltratti, Andrea ; Morana, Claudio |
Institutions: | International Centre for Economic Research (ICER) |
Subject: | risk factors | structural change | long memory | fractional cointegration | portfolio allocation |
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