Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing
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More about this item
Keywords
long-run betas; short-run betas; risk premia; component GARCH model; MIDAS;All these keywords.
JEL classification:
- 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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