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Nonparametric estimation betas in the Market Model
González, Esteban; Victoria, María; Orbe Mandaluniz, Susan - Departamento de Economía Aplicada III (Econometría y … - 2006
In this study an alternative nonparametric estimator to the Fama and MacBeth approach for the CAPM estimation is proposed. Betas and risk premiums are estimated simultaneously in order to increase the explanatory power of the proxy for betas. A data driven method is proposed for selecting the...
Persistent link: https://www.econbiz.de/10005187610
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A nonparametric approach for estimating betas : the smoothed rolling estimator
Esteban, María Victoria; Orbe-Mandaluniz, Susan - In: Applied economics 42 (2010) 10/12, pp. 1269-1279
Persistent link: https://www.econbiz.de/10008658509
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Nonparametric methods for estimating and testing for constant betas in asset pricing models
Esteban, María Victoria; Ferreira, Eva; … - In: Applied economics 47 (2015) 25/27, pp. 2577-2607
Persistent link: https://www.econbiz.de/10010519653
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Time-varying beta estimators in the Mexican emerging market
Nieto Domenech, Belen; Orbe-Mandaluniz, Susan; Zarraga, … - 2011
Persistent link: https://www.econbiz.de/10010417903
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Conditional beta pricing models : a nonparametric approach
Ferreira, Eva; Gil-Bazo, Javier; Orbe-Mandaluniz, Susan - In: Journal of banking & finance 35 (2011) 12, pp. 3362-3382
Persistent link: https://www.econbiz.de/10009384179
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Conditional beta pricing models : a nonparametric approach
Ferreira, Eva; Gil-Bazo, Javier; Orbe-Mandaluniz, Susan - 2010
Persistent link: https://www.econbiz.de/10008934914
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Time-varying coefficient estimation in SURE models : application to portfolio management
Casas, Isabel; Ferreira, Eva; Orbe-Mandaluniz, Susan - In: Journal of financial econometrics 19 (2021) 4, pp. 707-745
Persistent link: https://www.econbiz.de/10012654990