Nonparametric methods for estimating and testing for constant betas in asset pricing models
Year of publication: |
2015
|
---|---|
Authors: | Esteban, María Victoria ; Ferreira, Eva ; Orbe-Mandaluniz, Susan |
Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 47.2015, 25/27, p. 2577-2607
|
Subject: | time-varying coefficients | beta pricing models | smoothing splines | Fama–French three-factor model | CAPM | Schätztheorie | Estimation theory | Betafaktor | Beta risk | Nichtparametrisches Verfahren | Nonparametric statistics | Schätzung | Estimation | Statistischer Test | Statistical test |
-
Cattaneo, Matias D., (2023)
-
Testing conditional factor models
Ang, Andrew, (2012)
-
Cattaneo, Matias D., (2023)
- More ...
-
A nonparametric approach for estimating betas : the smoothed rolling estimator
Esteban, María Victoria, (2010)
-
Time-varying coefficient estimation in SURE models : application to portfolio management
Casas, Isabel, (2017)
-
Nonparametric estimation of time varying parameters under shape restrictions
Orbe-Mandaluniz, Susan, (2005)
- More ...