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| Author: | Eisenbeiss, M. Kauermann, G. Semmler, W. |
| Title: | Estimating beta-coefficients of German stock data: A non-parametric approach |
| Journal: | European Journal of Finance
2007 : JUL/SEP, VOL. 13:5-6, p. 503-522 |
| Index terms: | stock markets estimation risk models Germany |
| Language: | eng |
| Abstract: | This study presents and applies a non-parametric estimation technique allowing to capture the time effect, promising more reliable estimates than obtained with an OLS regression as well as better manageability compared with the existing time-series approaches dealing with time-varying beta-coefficients. Estimation results for constant and time-varying betas are presented for German industry portfolios. |
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