Dynamic correlation structure and security risk
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DOI: 10.1016/j.jeconbus.2014.01.003
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More about this item
Keywords
Idiosyncratic risk; Systematic risk; Return correlation structure; GARCH; CAPM;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
Statistics
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