Investment volatility: A critique of standard beta estimation and a simple way forward
From MaRDI portal
Publication:2467287
DOI10.1016/j.ejor.2006.09.018zbMath1137.91475arXiv1109.4422OpenAlexW3122432926WikidataQ56443990 ScholiaQ56443990MaRDI QIDQ2467287
Publication date: 21 January 2008
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1109.4422
Related Items
Alternative to beta coefficients in the context of diffusions ⋮ Volatility forecasting of financial time series using wavelet based exponential generalized autoregressive conditional heteroscedasticity model ⋮ SUB-ADDITIVE RECURSIVE "MATCHING" NOISE AND BIASES IN RISK-WEIGHTED INDEX CALCULATION METHODS IN INCOMPLETE MARKETS WITH PARTIALLY OBSERVABLE MULTI-ATTRIBUTE PREFERENCES
Cites Work