Pitfalls in linear models for style analysis

DOI10.1007/S10260-003-0081-ZMaRDI QIDQ1767028zbMATH OpenOpenAlexFDO

Authors Francesco Corielli, Attilio Meucci

Publication date 3 March 2005

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10260-003-0081-z

zbMATH Keywords

financial statisticsinstrumental variableslinear models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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(7)

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• Semi-strong dynamic style analysis with time-varying selectivity measurement: Applications to Brazilian exchange-rate funds
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