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Shrinking beta

Blitz, David; Swinkels, Laurens; Ūsaitė, Kristina; … - In: Journal of risk 24 (2022) 6, pp. 25-44

Persistent link: https://www.econbiz.de/10013549669

Low-Frequency volatility of real estate securities in relation to macroeconomic risk

Lee, Chyi Lin; Stevenson, Simon; Lee, Ming-Long - 2015

Persistent link: https://www.econbiz.de/10011295730

The impact of network connectivity on factor exposures, asset pricing and portfolio diversification

Billio, Monica; Caporin, Massimiliano; Panzica, Roberto … - 2017 - This version: October 2016

This paper extends the classic factor-based asset pricing model by including network linkages in linear factor models. We assume that the network linkages are exogenously provided. This extension of the model allows a better understanding of the causes of systematic risk and shows that (i)...

Persistent link: https://www.econbiz.de/10011598385

Asset pricing with disagreement and uncertainty about the length of business cycles

Andrei, Daniel; Carlin, Bruce Ian; Hasler, Michael - In: Management science : journal of the Institute for … 65 (2019) 6, pp. 2900-2923

Persistent link: https://www.econbiz.de/10012039878

Realized volatility, jump and beta : evidence from Canadian stock market

Gajurel, Dinesh; Chowdhury, Biplob - In: Applied economics 53 (2021) 55, pp. 6376-6397

Persistent link: https://www.econbiz.de/10012697913

The impact of network connectivity on factor exposures, asset pricing and portfolio diversification

Billio, Monica; Caporin, Massimiliano; Panzica, Roberto … - In: Network connectivity, systematic and systemic risk, (pp. 9-51). 2018

Persistent link: https://www.econbiz.de/10012305837

Price volatility and risk with non-separability of preferences

Drees, Burkhard; Eckwert, Bernhard - In: Mathematical social sciences 39 (2000) 1, pp. 21-34

Persistent link: https://www.econbiz.de/10001455759

A note on the jump-equilibrium model

Huber, P. P. - In: British actuarial journal : incorporating journal of … 4 (1998) 3, pp. 615-636

Persistent link: https://www.econbiz.de/10001400432

CAPM und systematische bzw. unsystematisches Risiko unter Kurssprüngen

Nietert, Bernhard - In: Operations research proceedings 1999 : selected papers …, (pp. 323-328). 2000

Persistent link: https://www.econbiz.de/10001481288

Dynamic asset pricing and statistical properties of risk

González-Rivera, Gloria - In: Journal of economics & business 50 (1998) 5, pp. 461-470

Persistent link: https://www.econbiz.de/10001252971