Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles) (Q1615808)
From MaRDI portal
scientific article
| 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 |
Statements
Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles) (English)
0 references
31 October 2018
0 references
market risk
0 references
volatility model
0 references
systematic risk
0 references
market portfolio
0 references
predictive power
0 references
equilibrium
0 references
GARCH
0 references
riskmetrics
0 references
piecewise constant volatility
0 references
constant elasticity of variance
0 references
0 references
0 references
