Media type: E-Book Title: Asset pricing using block-cholesky GARCH and time-varying betas Contributor: Grassi, Stefano [Author]; Violante, Francesco [Author] Published: Aarhus, Denmark: Department of Economics and Business Economics, Aarhus University, [2021] Published in: Aarhus Universitet: CREATES research paper ; 2021,5 Extent: 1 Online-Ressource (circa 51 Seiten); Illustrationen Language: English Keywords: Cholesky decomposition ; Multivariate GARCH ; Asset Pricing ; Time Varying Beta ; Two Pass Regression ; Graue Literatur Origination: Footnote: Access State: Open Access