Showing 1 - 6 of 6
Persistent link: https://www.econbiz.de/10002024185
This paper develops a new estimation procedure for characteristic-based factor models of security returns. We treat the factor model as a weighted additive nonparametric regression model, with the factor returns serving as time-varying weights, and a set of univariate non-parametric functions...
Persistent link: https://www.econbiz.de/10005857787
Persistent link: https://www.econbiz.de/10001748245
Persistent link: https://www.econbiz.de/10001748776
Persistent link: https://www.econbiz.de/10001835900
Persistent link: https://www.econbiz.de/10001835934