The Intertemporal Capital Asset Pricing Model with returns that follow Poisson jump-diffusion processes

Eric Bentzen, Peter Sellin

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

OriginalsprogEngelsk
TidsskriftEuropean Journal of Finance
Vol/bind9
Udgave nummer2
Sider (fra-til)531-562
Antal sider32
ISSN1351-847X
StatusUdgivet - 2003

Emneord

  • Afkast
  • CAPM
  • Asset pricing

Citer dette

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The Intertemporal Capital Asset Pricing Model with returns that follow Poisson jump-diffusion processes. / Bentzen, Eric; Sellin, Peter.

I: European Journal of Finance, Bind 9, Nr. 2, 2003, s. 531-562.

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

TY - JOUR

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AU - Bentzen, Eric

AU - Sellin, Peter

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KW - CAPM

KW - Asset pricing

M3 - Journal article

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SP - 531

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JF - European Journal of Finance

SN - 1351-847X

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