Nonparametric test for a constant beta over a fixed time interval
Year of publication: |
2014
|
---|---|
Authors: | Reiß, Markus ; Todorov, Viktor ; Tauchen, George Eugene |
Publisher: |
Berlin : SFB 649, Economic Risk |
Subject: | nonparametric tests | time-varying beta | stochastic volatility | high-frequency data | Nichtparametrisches Verfahren | Nonparametric statistics | Betafaktor | Beta risk | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Theorie | Theory | CAPM | Schätzung | Estimation | Börsenkurs | Share price | Stochastischer Prozess | Stochastic process | Statistischer Test | Statistical test |
Extent: | Online-Ressource (36 S.) graph. Darst. |
---|---|
Series: | SFB 649 discussion paper. - Berlin : [Verlag nicht ermittelbar], ISSN 1860-5664, ZDB-ID 2195055-6. - Vol. 2014-022 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Systemvoraussetzungen: Acrobat Reader |
Other identifiers: | hdl:10419/93221 [Handle] |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C32 - Time-Series Models ; c58 ; G10 - General Financial Markets. General |
Source: | ECONIS - Online Catalogue of the ZBW |
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