Narrow search
Showing 1 - 6 of 6
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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