Time aggregation and the estimation of the market model : revision and extension
Cheng Few Lee, Fu-Lai Lin, and Phillip Cartwright
| Year of publication: |
2024
|
|---|---|
| Authors: | Lee, Cheng F. ; Lin, Fu-Lai ; Cartwright, Phillip A. |
| Published in: |
Handbook of investment analysis, portfolio management, and financial derivatives ; Volume 2. - New Jersey : World Scientific, ISBN 978-981-12-6323-1. - 2024, p. 951-978
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| Subject: | Temporal aggregation | Beta coefficients | Dynamic market model | Error correction model | Coefficient determination | t statistics | Long-run multiplier | Schätztheorie | Estimation theory | Aggregation | CAPM | Zeitreihenanalyse | Time series analysis | Kointegration | Cointegration | Multiplikator | Multiplier | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1142/9789811269943_0029 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015046635