Evaluating factor pricing models using high-frequency panels

DOI10.3982/QE251MaRDI QIDQ4586208zbMATH OpenOpenAlexFDO

Authors Yoosoon Chang, Yongok Choi, Hwagyun Kim, Joon Y. Park

Publication date 12 September 2018

Published in Quantitative Economics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 3.0 Unported

Full work available at URL https://doi.org/10.3982/qe251

zbMATH Keywords

panelrealized variancehigh frequencytime changeFama-French regression

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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