Showing 1 - 10 of 4,664
Persistent link: https://www.econbiz.de/10009540545
Persistent link: https://www.econbiz.de/10010478162
Persistent link: https://www.econbiz.de/10009623472
Persistent link: https://www.econbiz.de/10003921416
Persistent link: https://www.econbiz.de/10012596736
Persistent link: https://www.econbiz.de/10003563511
Persistent link: https://www.econbiz.de/10003576859
This paper develops a new estimation procedure for characteristic-based factor models of security returns. We treat the factor model as a weighted additive nonparametric regression model, with the factor returns serving as time-varying weights, and a set of univariate nonparametric functions...
Persistent link: https://www.econbiz.de/10003550858
Persistent link: https://www.econbiz.de/10002007029
Persistent link: https://www.econbiz.de/10001856006