The time-varying coefficient Fama - French five factor model : a case study in the return of Japan portfolios
Asama Liammukda, Manad Khamkong, Lampang Saenchan, Napon Hongsakulvasu
| Year of publication: |
2020
|
|---|---|
| Authors: | Asama Liammukda ; Manad Khamkong ; Lampang Saenchan ; Napon Hongsakulvasu |
| Published in: |
Journal of Asian finance, economics and business : JAFEB. - Seongnam, Gyeonggi, South Korea : Korea Distribution Science Association, ISSN 2288-4645, ZDB-ID 2929132-X. - Vol. 7.2020, 10, p. 513-521
|
| Subject: | Nonparametric Regression | Japanese Stock Exchange | Time-Varying Coefficient | Thin Plate Spline | Fama - French Five Factor Model | Japan | Frankreich | France | Kapitaleinkommen | Capital income | CAPM | Portfolio-Management | Portfolio selection | Schätzung | Estimation | Faktorenanalyse | Factor analysis | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Nichtparametrisches Verfahren | Nonparametric statistics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.13106/jafeb.2020.vol7.no10.513 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012671431