Estimating C-CAPM and the Equity Premium over the Frequency Domain
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- Kalyvitis Sarantis & Panopoulou Ekaterini, 2013. "Estimating C-CAPM and the equity premium over the frequency domain," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(5), pages 551-571, December.
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More about this item
Keywords
C-CAPM; consumption risk; frequency domain; equity premium;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-UPT-2012-07-08 (Utility Models and Prospect Theory)
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