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The CAPM risk adjustment needed for exact aggregation over financial assets
Barnett, William A.; Liu, Yi; Xu, Haiyang; Jensen, Mark J. - 2012
Persistent link: https://www.econbiz.de/10009731635
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CAPM risk adjustment
Barnett, William A.; Yi, Liu; Jensen, Mark J. - In: The theory of monetary aggregation, (pp. 245-273). 2000
Persistent link: https://www.econbiz.de/10001508711
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CAPM risk adjustment for exact aggregation over financial assets
Barnett, William A.; Yi, Liu; Jensen, Mark J. - In: Macroeconomic dynamics 1 (1997) 2, pp. 485-512
Persistent link: https://www.econbiz.de/10001630065
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Do jumps contribute to the dynamics of the equity premium
Maheu, John M.; McCurdy, Thomas H.; Zhao, Xiaofei - In: Journal of financial economics 110 (2013) 2, pp. 457-477
Persistent link: https://www.econbiz.de/10010208659
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Nonparametric dynamic conditional beta
Maheu, John M.; Zamenjani, Azam Shamsi - In: Journal of financial econometrics 19 (2021) 4, pp. 583-613
Persistent link: https://www.econbiz.de/10012654975
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A multivariate GARCH-jump mixture model
Li, Chenxing; Maheu, John M. - In: Journal of forecasting 43 (2024) 1, pp. 182-207
Persistent link: https://www.econbiz.de/10014443194
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CAPM Risk Adjustment
Barnett, William A.; Liu, Yi; Jensen, Mark - In: The theory of monetary aggregation, (pp. 245-273). 2000
Persistent link: https://www.econbiz.de/10015390242