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According to the Sharpe-Lintner capital asset pricing model, expected rates of return on individual stocks differ only because of their different levels of non-diversifiable risk (beta). However, Fama/French (1992) show that the two variables size and book-to-market ratio capture the...
Persistent link: https://www.econbiz.de/10009661022
exchange the paper compares estimation results of parametric and nonparametric autoregressive models with respect to possible …
Persistent link: https://www.econbiz.de/10009580468
problem of online estimation of current values of w = w(T) and a = a(T) from the observations SI , ... ,ST. We propose an … adaptive method of estimation which does not use any information about time homogeneity of the obscured process. We apply this …
Persistent link: https://www.econbiz.de/10009582392
alternative for modelling financial data exhibiting skewness and fat tails. In this paper we explore the Bayesian estimation of …
Persistent link: https://www.econbiz.de/10009612011
Persistent link: https://www.econbiz.de/10001917087
Persistent link: https://www.econbiz.de/10003337108