Semi-Parametric Estimation of Risk-Return Relationships
نویسندگان
چکیده
منابع مشابه
Semiparametric Estimation of Risk-return Relationships
This article proposes semiparametric least squares estimation of parametric risk-return relationships, i.e. parametric restrictions between the conditional mean and the conditional variance of excess returns given a set of unobservable parametric factors. A distinctive feature of our estimator is that it does not require a parametric model for the conditional mean and variance. We establish con...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2320768