Factor Models of Stock Returns: GARCH Errors versus Time‐Varying Betas (Q4596050)
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scientific article; zbMATH DE number 6816517
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Factor Models of Stock Returns: GARCH Errors versus Time‐Varying Betas |
scientific article; zbMATH DE number 6816517 |
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Factor Models of Stock Returns: GARCH Errors versus Time‐Varying Betas (English)
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8 December 2017
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single-factor model
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autogressive betas
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homoscedastic errors
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stock market
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in-sample performance
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out-of-sample performance
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