Jumps in Rank and Expected Returns. Introducing Varying Cross-sectional Risk
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More about this item
KeywordsDuration; Mixture of distributions; Nonlinearity; Reality check; Trading rule; VaR;
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G0 - Financial Economics - - General
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