Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles) (Q1615808)
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scientific article; zbMATH DE number 6969439
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles) |
scientific article; zbMATH DE number 6969439 |
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Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles) (English)
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31 October 2018
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market risk
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volatility model
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systematic risk
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market portfolio
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predictive power
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equilibrium
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GARCH
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riskmetrics
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piecewise constant volatility
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constant elasticity of variance
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