Estimating Beta-Coefficients of German Stock Data: A Non-Parametric Approach
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DOI: 10.1080/13518470701201405
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- Асатуров К.Г., 2015. "Динамические Модели Систематического Риска: Сравнение На Примере Индийского Фондового Рынка," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 51(4), pages 59-75, октябрь.
- Anders Johansson, 2009.
"An analysis of dynamic risk in the Greater China equity markets,"
Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 7(3), pages 299-320.
- Johansson, Anders C., 2009. "An Analysis Of Dynamic Risk In The Greater China Equity Markets," Working Paper Series 2009-5, Stockholm School of Economics, China Economic Research Center.
- Magdalena Mikolajek-Gocejna, 2021. "Estimation, Instability, and Non-Stationarity of Beta Coefficients for Twenty-four Emerging Markets in 2005-2021," European Research Studies Journal, European Research Studies Journal, vol. 0(4 - Part ), pages 370-395.
- Christoph Wegener & Tobias Basse, 2019. "The Stability of Factor Sensitivities of German Stock Market Sector Indices: Empirical Evidence and Some Thoughts about Practical Implications," JRFM, MDPI, vol. 12(3), pages 1-10, August.
- M. V. Esteban & E. Ferreira & S. Orbe-Mandaluniz, 2015. "Nonparametric methods for estimating and testing for constant betas in asset pricing models," Applied Economics, Taylor & Francis Journals, vol. 47(25), pages 2577-2607, May.
- repec:ers:journl:v:xxiv:y:2021:i:4:p:370-395 is not listed on IDEAS
- Magdalena Mikolajek-Gocejna, 2022. "Systematic Risk of ESG Companies Listed on the Polish Capital Market in 2019-2022," European Research Studies Journal, European Research Studies Journal, vol. 0(2), pages 597-615.
- Willi Semmler, 2011.
"Asset Prices, Booms and Recessions,"
Springer Books,
Springer, number 978-3-642-20680-1, March.
- Willi Semmler, 2006. "Asset Prices, Booms and Recessions," Springer Books, Springer, edition 0, number 978-3-540-24696-1, March.
- repec:ehu:biltok:5581 is not listed on IDEAS
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Keywords
Systematic risk; time-varying beta-coefficients; non-parametric estimation; spline smoothing; varying-coefficient model;All these keywords.
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