A common component of Fama and French factor variances
Approved
Classifications
MinEdu publication type
A1 Journal article (peer-reviewed)
Definition
Article
Target group
Scientific
Peer reviewed
Peer-reviewed
Article type
Journal article
Host publication type
Journal
Publication channel information
Title of journal/series
North american journal of economics and finance
ISSN (print)
1062-9408
ISSN (electronic)
1879-0860
ISSN (linking)
1062-9408
Publisher
Elsevier
Publication forum ID
64183
Publication forum level
1
Publication appears in FT-list
No
SNIP-level of the publication
1.23
Country of publication
United States
Internationality
Yes
Detailed publication information
Publication year
2024
Reporting year
2024
Journal/series volume number
75
Article number
102292
DOI
10.1016/j.najef.2024.102292
Language of publication
English
Co-publication information
International co-publication
No
Co-publication with a company
No
Availability
Link to online publication
Link to self-archived version
Classification and additional information
MinEdu field of science classification
511 Economics
Keywords
Co-fractality; Fama and French factors; Power laws; Realized variance; Risk
Source database ID
WoS ID
WOS:001331373300001
Scopus ID
Scopus:85205393596