Extending the Fama and French model with a long term memory factor

DOI10.1016/j.ejor.2019.07.071zbMath1487.91144OpenAlexW2964775714WikidataQ127402369 ScholiaQ127402369MaRDI QIDQ2030695

I. Pouchkarev, M. N. López-García, Juan Evangelista Trinidad Segovia, Miguel Angel Sánchez-Granero

Publication date: 7 June 2021

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2019.07.071

zbMATH Keywords

long memoryfactorfactor modelAPTHurst

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (1)

Strategic trading with information acquisition and long-memory stochastic liquidity

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