Semiparametric estimation of risk-return relationships
Year of publication: |
January 2017
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Authors: | Escanciano, Juan Carlos ; Pardo-Fernández, Juan Carlos ; Van Keilegom, Ingrid |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 35.2017, 1, p. 40-52
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Subject: | Asset pricing | Conditional variance | Kernel estimation | Nonparametric inference | Risk premium | Volatility | Nichtparametrisches Verfahren | Nonparametric statistics | Risikoprämie | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income | Volatilität | Schätzung | Estimation | CAPM | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Induktive Statistik | Statistical inference |
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