A nonparametric approach to measuring the sensitivity of an asset's return to the market

DOI10.1007/s10436-016-0277-5zbMath1398.62322OpenAlexW2343001611MaRDI QIDQ315467

Thomas A. 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

zbMATH Keywords

market modelbetacorrelation curvenonparametric function estimation

Mathematics Subject Classification ID

Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Uses Software

• R
• pspline
• bootstrap
• bootlib

Cites Work

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• bootlib
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• Local Polynomial Variance-Function Estimation

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