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~isPartOf:"Journal of banking & finance"
~isPartOf:"Journal of financial and quantitative analysis : JFQA"
~subject:"1963-2010"
~subject:"Commodity price"
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1963-2010
Commodity price
Capital income
4
Kapitaleinkommen
4
Volatility
4
Volatilität
4
CAPM
2
Option pricing theory
2
Optionspreistheorie
2
Risikoprämie
2
Risk premium
2
2004 - 2013
1
ARCH model
1
ARCH-Modell
1
Aktienmarkt
1
Asset pricing
1
Beta risk
1
Betafaktor
1
Capital market returns
1
Correlation
1
Cross-section
1
Derivatives market
1
Diversification
1
Diversifikation
1
Dynamic jumps
1
Dynamic volatility
1
Econometric and statistical methods
1
Electronic trading
1
Elektronisches Handelssystem
1
Estimation
1
Factor analysis
1
Factor-mimicking portfolios
1
Faktorenanalyse
1
Financial intermediaries
1
Forecasting model
1
Index derivative
1
Indexderivat
1
Kapitalmarktrendite
1
Korrelation
1
Oil price
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Christoffersen, Peter F.
2
Langlois, Hugues
1
Lunde, Asger
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Olesen, Kasper V.
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Journal of banking & finance
Journal of financial and quantitative analysis : JFQA
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Factor structure in commodity futures return and volatility
Christoffersen, Peter F.
;
Lunde, Asger
;
Olesen, Kasper V.
- In:
Journal of financial and quantitative analysis : JFQA
54
(
2019
)
3
,
pp. 1083-1115
Persistent link: https://www.econbiz.de/10012139386
Saved in:
2
The joint dynamics of equity market factors
Christoffersen, Peter F.
;
Langlois, Hugues
- In:
Journal of financial and quantitative analysis : JFQA
48
(
2013
)
5
,
pp. 1371-1404
Persistent link: https://www.econbiz.de/10010343643
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