Time-varying coefficient estimation in SURE models : application to portfolio management
Year of publication: |
2021
|
---|---|
Authors: | Casas, Isabel ; Ferreira, Eva ; Orbe-Mandaluniz, Susan |
Subject: | asset pricing | five-factor model | nonparametric | SURE | time-varying | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | CAPM | Schätzung | Estimation | Nichtparametrisches Verfahren | Nonparametric statistics | Volatilität | Volatility |
-
Global variance term premia and intermediary risk appetite
Van Tassel, Peter, (2016)
-
Semiparametric estimation of risk-return relationships
Escanciano, Juan Carlos, (2017)
-
On the estimation of Value-at-Risk and Expected Shortfall at extreme levels
Lazar, Emese, (2024)
- More ...
-
Time-varying coefficient estimation in SURE models : application to portfolio management
Casas, Isabel, (2017)
-
Nonparametric estimation of time varying parameters under shape restrictions
Orbe-Mandaluniz, Susan, (2005)
-
The effect of dependence on European market risk : a nonparametric time varying approach
Ascorbebeitia, Jone, (2022)
- More ...