Showing 161 - 170 of 420
Persistent link: https://www.econbiz.de/10003375920
Persistent link: https://www.econbiz.de/10008806221
Persistent link: https://www.econbiz.de/10008806644
Persistent link: https://www.econbiz.de/10008807244
Persistent link: https://www.econbiz.de/10003609986
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
Persistent link: https://www.econbiz.de/10003563511
Persistent link: https://www.econbiz.de/10009534943
Persistent link: https://www.econbiz.de/10009712034