A nonparametric approach to measuring the sensitivity of an asset's return to the market
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Publication:315467
DOI10.1007/S10436-016-0277-5zbMATH Open1398.62322OpenAlexW2343001611MaRDI QIDQ315467FDOQ315467
Authors: Thomas Severini 
Publication date: 21 September 2016
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-016-0277-5
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Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
Cites Work
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Cited In (7)
- Spectral analysis of public utility returns
- Financial applications of sequential nonparametric curve estimation
- Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
- Empirical analysis of the return rate of Shanghai stock market based on the nonparametric model method
- Alternative beta estimation for the market model using partially adaptive techniques
- Title not available (Why is that?)
- Robustness of the market model
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