Characteristics, covariances, and structural breaks

DOI10.1016/J.ECONLET.2007.10.025zbMATH Open1255.91327OpenAlexW2008746889MaRDI QIDQ1934831

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Publication date: 29 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2007.10.025

zbMATH Keywords

structural breakfactor modelcharacteristics model

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• Estimating and Testing Linear Models with Multiple Structural Changes
• An Intertemporal Capital Asset Pricing Model
• Common risk factors in the returns on stocks and bonds

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