Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles)
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DOI: 10.1007/s10479-015-1972-8
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- Roy Cerqueti & Mario Maggi & Jessica Riccioni, 2024. "Statistical methods for decision support systems in finance: how Benford’s law predicts financial risk," Annals of Operations Research, Springer, vol. 342(3), pages 1445-1469, November.
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More about this item
Keywords
Market risk; Volatility model; Systematic risk; Market portfolio; Predictive power; Equilibrium; GARCH; RiskMetrics; Piecewise constant volatility; Constant elasticity of variance;All these keywords.
JEL classification:
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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