Examining heterogeneity in implied equity risk premium using penalized splines

DOI10.1007/S10182-007-0052-ZMaRDI QIDQ732231zbMATH OpenOpenAlexFDO

Authors Michael Wegener, Göran Kauermann

Publication date 9 October 2009

Published in AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10182-007-0052-z

zbMATH Keywords

nonparametric estimationlinear mixed modelspenalized splinesequity risk premiumsubject-specific curves

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(1)

• A semiparametric nonlinear mixed model approach to phase I profile monitoring

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