scientific article; zbMATH DE number 1094764

MaRDI QIDQ4368554zbMATH OpenFDO

Authors A. Corhay, A. Tourani Rad

Publication date 4 December 1997

zbMATH Keywords

systematic riskreturn intervalintervalling effectvariability of beta estimates

Mathematics Subject Classification ID

Recommendations

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• OPTION BETAS: RISK MEASURES FOR OPTIONS
• CAPM with fuzzy returns and hypothesis testing
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Cited in

(9)

• CAPM with fuzzy returns and hypothesis testing
• Impacts of time aggregation on beta value and \(R^2\) estimations under additive and multiplicative assumptions: theoretical results and empirical evidence
• OPTION BETAS: RISK MEASURES FOR OPTIONS
• Investment volatility: A critique of standard beta estimation and a simple way forward
• Statistical regularities in the return intervals of volatility
• Risk analysis of cumulative intraday return curves
• Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
• WHY THE RETURN NOTION MATTERS
• Average Rate of Return with Uncertainty

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