The sensitivity of beta to the time horizon when log prices follow an Ornstein-Uhlenbeck process
KiHoon Jimmy Hong and Steve Satchell
| Year of publication: |
2014
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|---|---|
| Authors: | Hong, KiHoon Jimmy ; Satchell, Stephen |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 20.2014, 1/3, p. 264-290
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| Subject: | finance | intervalling-effect in beta | autocorrelation in returns | bivariate Ornstein-Uhlenbeck process | Betafaktor | Beta risk | CAPM | Börsenkurs | Share price | Stochastischer Prozess | Stochastic process | Autokorrelation | Autocorrelation | Kapitaleinkommen | Capital income | Mean Reversion | Mean reversion | Optionspreistheorie | Option pricing theory |
| 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/10010462111