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

DOI10.1007/S10436-016-0277-5MaRDI QIDQ315467zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

betacorrelation curvemarket modelnonparametric function estimation

Mathematics Subject Classification ID

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

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Cites work

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• Gaussian and logistic adaptations of smoothed safety first
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Cited in

(10)

• Spectral analysis of public utility returns
• Robustness of the market model
• Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
• Monitoring the parameters of the market model by linear profile procedures
• Empirical analysis of the return rate of Shanghai stock market based on the nonparametric model method
• Financial applications of sequential nonparametric curve estimation
• Alternative beta estimation for the market model using partially adaptive techniques
• Empirical likelihood based nonparametric testing for CAPM
• scientific article; zbMATH DE number 842101 (Why is no real title available?)
• scientific article; zbMATH DE number 970023 (Why is no real title available?)

Describes a project that uses

Uses Software

• R
• pspline
• bootstrap
• boot

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