The role of jump dynamics in the risk-return relationship
Bala Arshanapalli; Frank J. Fabozzi; William Nelson
| Year of publication: |
2013
|
|---|---|
| Authors: | Arshanapalli, Bala Gangadhar ; Fabozzi, Frank J. ; Nelson, William |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 29.2013, p. 212-218
|
| Subject: | Time-varying risk premium | Mixed GARCH | Jump diffusion model | Risikoprämie | Risk premium | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Risiko | Risk | CAPM | Volatilität | Volatility |
| Extent: | graph. Darst. |
|---|---|
| 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/10010244955