The stable long-run CAPM and the cross-section of expected returns
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Cited by:
- Thomas Werner & Christian Upper, 2004.
"Time variation in the tail behavior of Bund future returns,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 24(4), pages 387-398, April.
- Upper, Christian & Werner, Thomas, 2002. "Time variation in the tail behaviour of bunds futures returns," Working Paper Series 199, European Central Bank.
- Upper, Christian & Werner, Thomas, 2002. "Time Variation in the Tail Behaviour of Bund Futures Returns," Discussion Paper Series 1: Economic Studies 2002,25, Deutsche Bundesbank.
- Izatov, Asset, 2014. "Testing the Effect of the Conflict in Georgia in 2008 on Energy Market," MPRA Paper 70787, University Library of Munich, Germany.
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More about this item
Keywords
CAPM; Stable Paretian distribution; Sto chastic common trend;All these keywords.
JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
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