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  • Search: subject:"volatility and leverage effects"
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Subject
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Factor vector autoregressive model 2 Macro-finance interface 2 Risk factors 2 CAPM 1 Capital income 1 Capital market returns 1 Estimation 1 Kapitaleinkommen 1 Kapitalmarktrendite 1 Portfolio selection 1 Portfolio-Management 1 Risiko 1 Risikoprämie 1 Risk 1 Risk premium 1 Schock 1 Schätzung 1 Shock 1 Size 1 Size, value, momentum, liquidity, volatility and leverage effects 1 VAR model 1 VAR-Modell 1 Volatility 1 Volatilität 1 liquidity 1 momentum 1 value 1 volatility and leverage effects 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Morana, Claudio 2
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Journal of Empirical Finance 1 Journal of empirical finance 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Insights on the global macro-finance interface: Structural sources of risk factor fluctuations and the cross-section of expected stock returns
Morana, Claudio - In: Journal of Empirical Finance 29 (2014) C, pp. 64-79
This study contributes to the investigation of the macro-finance interface by assessing the economic content and risk-based interpretation of widely employed risk factors in the specification of empirical asset pricing models, i.e., Fama–French size and value, Carhart momentum, as well as the...
Persistent link: https://www.econbiz.de/10011116274
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Cover Image
Insights on the global macro-finance interface : structural sources of risk factor fluctuations and the cross-section of expected stock returns
Morana, Claudio - In: Journal of empirical finance 29 (2014), pp. 64-79
Persistent link: https://www.econbiz.de/10011300504
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