Time-varying coefficient estimation in SURE models : application to portfolio management
Isabel Casas, Eva Ferreira and Susan Orbe
| Year of publication: |
2021
|
|---|---|
| Authors: | Casas, Isabel ; Ferreira, Eva ; Orbe-Mandaluniz, Susan |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 19.2021, 4, p. 707-745
|
| 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 |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbz010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012654990