We study the volatility of the Fama-French risk factors for the US stock market on the basis of a realized volatility econometric model that allows for structural breaks
Structural breaks in the volatility of the Fama-French factors
BELTRATTI, ANDREA;
2006
Abstract
We study the volatility of the Fama-French risk factors for the US stock market on the basis of a realized volatility econometric model that allows for structural breaks
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