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In-sample and out-of-sample Sharpe ratios of multi-factor asset pricing models
Kan, Raymond; Wang, Xiaolu; Zheng, Xinghua - In: Journal of financial economics 155 (2024), pp. 1-21
Persistent link: https://www.econbiz.de/10015072280
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The leverage effect puzzle : disentangling sources of bias at high frequency
Aït-Sahalia, Yacine; Fan, Jianqing; Li, Yingying - In: Journal of financial economics 109 (2013) 1, pp. 224-249
Persistent link: https://www.econbiz.de/10009765821
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The leverage effect puzzle: Disentangling sources of bias at high frequency
Aït-Sahalia, Yacine; Fan, Jianqing; Li, Yingying - In: Journal of financial economics 109 (2013) 1, pp. 224-249
Persistent link: https://www.econbiz.de/10010122976