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Cross-section without factors : a string model for expected returns
Distaso, Walter
;
Mele, Antonio
;
Vilkov, Grigory
- In:
Quantitative finance
24
(
2024
)
6
,
pp. 693-718
Persistent link: https://www.econbiz.de/10015050788
Saved in:
2
Cross-section without factors : correlation risk, strings and asset prices
Distaso, Walter
;
Mele, Antonio
;
Vilkov, Grigory
-
2021
-
This version: January 13, 2021
-series behavior of the premium for the risk of changes in asset correlations (the
premium
for
correlation
risk
), including its inverse …
Persistent link: https://www.econbiz.de/10012421289
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