On the properties of the coefficient of determination in regression models with infinite variance variables
Year of publication: |
2014
|
---|---|
Authors: | Kurz-Kim, Jeong-Ryeol ; Loretan, Mico |
Published in: |
Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 181.2014, 1, p. 15-24
|
Publisher: |
Elsevier |
Subject: | Coefficient of determination | α-stable distributions | Signal to noise ratio | Density transformation theorem | Monte Carlo simulation | Fama–MacBeth regression | CAPM |
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Kurz-Kim, Jeong-Ryeol, (2014)
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A note on the coefficient of determination in regression models with infinite-variance variables
Loretan, Michael Stanislaus, (2007)
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A note on the coefficient of determination in regression models with infinite-variance variables
Loretan, Michael Stanislaus, (2007)
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A note on the coefficient of determination in models with infinite variance variables
Kurz-Kim, Jeong-Ryeol, (2007)
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A note on the coefficient of determination in models with infinite variance variables
Kurz-Kim, Jeong-Ryeol, (2007)
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Kurz-Kim, Jeong-Ryeol, (2014)
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