haku: @author Eisenbeiss, M. / yhteensä: 1
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Tekijä: | Eisenbeiss, M. Kauermann, G. Semmler, W. |
Otsikko: | Estimating beta-coefficients of German stock data: A non-parametric approach |
Lehti: | European Journal of Finance
2007 : JUL/SEP, VOL. 13:5-6, p. 503-522 |
Asiasana: | stock markets estimation risk models Germany |
Kieli: | eng |
Tiivistelmä: | 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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