مرکز منطقه ای اطلاع رساني علوم و فناوري - Measuring and modeling systematic risk in factor pricing models using high-frequency data

Title of article :

Measuring and modeling systematic risk in factor pricing models using high-frequency data

Author/Authors :

Tim Bollerslev، نويسنده , , Benjamin Y. B. Zhang، نويسنده ,

Issue Information :

دوماهنامه با شماره پیاپی سال 2003

Pages :

From page :

533

To page :

558

Keywords :

High-frequency data , Factor pricing models , Realized loadings , Fama– French factors

Journal title :

Journal of Empirical Finance

Serial Year :

2003

Journal title :

Journal of Empirical Finance

Record number :

130749

Link To Document :