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

Journal of Empirical Finance

Volumn 10, Issue 5, 2003, Pages 533-558

  Bollerslev, Tim ^a   Zhang, Benjamin Y B ^a  

^a DUKE UNIVERSITY   (United States)

Author keywords

Factor pricing models; Fama French factors; High frequency data; Realized loadings

Indexed keywords

EID: 0041340848     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(03)00004-5     Document Type: Article

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