A two-phase approach to estimating time-varying parameters in the capital asset pricing model

DOI10.1080/02664760802443871zbMath1473.62353OpenAlexW2165401249MaRDI QIDQ3183868

Yih-Ching Su, Jing-Shiang Hwang

Publication date: 21 October 2009

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760802443871

zbMATH Keywords

CAPMtime-varying parametertwo-phase estimation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites Work

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• Nonparametric estimation of time varying parameters under shape restrictions
• Time-varying parameter models with endogenous regressors
• Modeling Financial Time Series with S-PLUS®

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