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  • Search: subject:"Robust M-estimation"
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Year of publication
Subject
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Equity cost of capital 2 Estimation theory 2 OLS estimation 2 Pharmaceutical industry 2 Robust M estimation 2 Schätztheorie 2 Stock beta 2 Additive single index models 1 Beta risk 1 Betafaktor 1 Börsenkurs 1 CAPM 1 Capital income 1 Cost of capital 1 Estimation 1 Generalized residuals 1 Kapitaleinkommen 1 Kapitalkosten 1 Kleinste-Quadrate-Methode 1 Least squares method 1 Nichtparametrisches Verfahren 1 Nonparametric statistics 1 Pharmaindustrie 1 Robust M-estimation 1 Robust specification tests 1 Robust statistics 1 Robustes Verfahren 1 Schätzung 1 Share price 1 Spot rate 1 Time series analysis 1 USA 1 United States 1 Zeitreihenanalyse 1 generalized function 1 nonstationary time series 1 quadratic approximation 1 regular function sequence 1 robust M–estimation 1
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Online availability
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Free 1 Undetermined 1
Type of publication
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Article 2 Book / Working Paper 2
Type of publication (narrower categories)
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Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 2 Undetermined 2
Author
All
Theodossiou, Alexandra K. 2 Theodossiou, Panayiotis 2 Donga, Chaohua 1 Gao, Jiti 1 Hong, Yongmiao 1 Lin, Hai 1 Peng, Bin 1 Tu, Yundong 1 Wang, Shouyang 1
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Published in...
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Journal of International Financial Markets, Institutions and Money 1 Journal of international financial markets, institutions & money 1 Working Paper 1 Working paper / Department of Econometrics and Business Statistics, Monash University 1
Source
All
ECONIS (ZBW) 2 RePEc 2
Showing 1 - 4 of 4
Cover Image
Robust M-estimation for additive single-index cointegrating time series models
Donga, Chaohua; Gao, Jiti; Peng, Bin; Tu, Yundong - 2023
Persistent link: https://www.econbiz.de/10014315933
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Stock return outliers and beta estimation: The case of U.S. pharmaceutical companies
Theodossiou, Alexandra K.; Theodossiou, Panayiotis - In: Journal of International Financial Markets, … 30 (2014) C, pp. 153-171
Efficient estimation of the equity cost of operating public corporations is essential for a rational investment policy. Traditional OLS beta estimates of a single stock are known to suffer from violations of normality due to outliers – extreme returns caused by large, unpredictable...
Persistent link: https://www.econbiz.de/10010789906
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Cover Image
Stock return outliers and beta estimation : the case of U.S. pharmaceutical companies
Theodossiou, Alexandra K.; Theodossiou, Panayiotis - In: Journal of international financial markets, … 30 (2014), pp. 153-171
Persistent link: https://www.econbiz.de/10011293772
Saved in:
Cover Image
Modeling the Dynamics of Chinese Spot Interest Rates
Hong, Yongmiao; Lin, Hai; Wang, Shouyang - 2013
dynamics of the Chinese spot rates has similar features to that of the U.S. spot rates. A robust M-estimation method and a …
Persistent link: https://www.econbiz.de/10011003233
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