Time-varying continuous and jump betas : the role of firm characteristics and periods of stress
Year of publication: |
January 2017
|
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Authors: | Alexeev, Vitali ; Dungey, Mardi H. ; Yao, Wenying |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 40.2017, p. 1-19
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Subject: | Systematic risk | Jumps | Equity risk premium | High-frequency data | Schätzung | Estimation | Risikoprämie | Risk premium | CAPM | Betafaktor | Beta risk | Börsenkurs | Share price | Volatilität | Volatility | Kapitaleinkommen | Capital income |
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