Factor models of stock returns: GARCH errors versus time-varying betas (Q4596050)
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scientific article; zbMATH DE number 6816517
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| English | Factor models of stock returns: GARCH errors versus time-varying betas |
scientific article; zbMATH DE number 6816517 |
Statements
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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0.7793158888816833
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0.7323864698410034
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0.7263085246086121
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0.722694456577301
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