The cross section of expected returns with MIDAS betas
Year of publication: |
2012
|
---|---|
Authors: | González, Mariano ; Nave Pineda, Juan M. ; Rubio, Gonzalo |
Published in: |
Journal of financial and quantitative analysis : JFQA. - New York, NY [u.a.] : Cambridge University Press, ISSN 0022-1090, ZDB-ID 219406-5. - Vol. 47.2012, 1, p. 115-135
|
Subject: | CAPM | Betafaktor | Beta risk | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Kapitalmarktrendite | Capital market returns | Risikoprämie | Risk premium |
-
CAPM, components of beta and the cross section of expected returns
Cenesizoglu, Tolga, (2018)
-
Systematic risk and the cross section of hedge fund returns
Bali, Turan G., (2012)
-
Beware of the crash risk : tail beta and the cross-section of stock returns in China
Long, Huaigang, (2019)
- More ...
-
González Sánchez, Mariano, (2020)
-
Eficeincia de las técnicas de medición del riesgo de mercado ante situaciones de crisis
González Sánchez, Mariano, (2010)
-
Where is the distribution tail threshold? : a tale on tail and copulas in financial risk measurement
González Sánchez, Mariano, (2023)
- More ...