Showing 1 - 10 of 5,827
Persistent link: https://www.econbiz.de/10000892121
Persistent link: https://www.econbiz.de/10000837603
Persistent link: https://www.econbiz.de/10000838938
Persistent link: https://www.econbiz.de/10000659972
Persistent link: https://www.econbiz.de/10003786714
Persistent link: https://www.econbiz.de/10008702348
Persistent link: https://www.econbiz.de/10003604896
Persistent link: https://www.econbiz.de/10003611579
Persistent link: https://www.econbiz.de/10003576859
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 nonparametric functions...
Persistent link: https://www.econbiz.de/10003550858