On the properties of the coefficient of determination in regression models with infinite variance variables
Year of publication: |
2014
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Authors: | Kurz-Kim, Jeong-Ryeol ; Loretan, Mico |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 181.2014, 1, p. 15-24
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Subject: | Coefficient of determination | α-stable distributions | Signal to noise ratio | Density transformation theorem | Monte Carlo simulation | Fama-MacBeth regression | CAPM | Regressionsanalyse | Regression analysis | Schätztheorie | Estimation theory | Statistische Verteilung | Statistical distribution | Monte-Carlo-Simulation |
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