ASYMPTOTIC AND BAYESIAN CONFIDENCEINTERVALS FOR SHARPE STYLE WEIGHTS

Sharpe style regression has become a widespread analytic tool in the financial community. Thestyle regression allows one to investigate such interesting issues as style composition, style sensitivity, andstyle change over time. All previous methods to obtain the distribution and confidence intervals of the stylecoefficients are statistically valid only in the special case in which none of the true style weights are zero orone...

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Year of publication:	2000-10-07
Authors:	Kim, Tae-Hwan ; Stone, Douglas ; White, Halbert
Institutions:	University <Nottingham> / Department of Economics ; University of California <Berkeley, Calif.> / San Diego Campus / Department of Economics ; University of California <Berkeley, Calif.> / San Diego Campus / Department of Economics
Subject:	Lineare Optimierung \| Regressionsanalyse \| Bayes-Regel \| Negativität \| Dichtebestimmung \| Prior Density

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Extent:	250880 bytes 43 p. application/pdf
Series:	The University of Nottingham / School of Economics - discussion papers Discussion Paper ; No. 00/18
Type of publication:	Book / Working Paper
Language:	English
Classification:	Market research ; Study of commerce ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005869093