Robust estimation with flexible parametric distributions: estimation of utility stock betas

Author： Mcdonald James   Michelfelder Richard   Theodossiou Panayiotis  

Publisher： Routledge Ltd

ISSN： 1469-7688

Source： Quantitative Finance, Vol.10, Iss.4, 2010-04, pp. : 375-387

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Robust estimation of historical volatility and correlations in risk management

By Tchernitser Alexander   Rubisov Dmitri  

Quantitative Finance, Vol. 9, Iss. 1, 2009-02 ,pp. : 43-54

Routledge Ltd

Access to resources Recommend Favorite

Country risk and the estimation of asset return distributions

By Brooks Robert   Zhang Xibin   Bheenick Emawtee Bissoondoyal  

Quantitative Finance, Vol. 7, Iss. 3, 2007-06 ,pp. : 261-265

Routledge Ltd

Access to resources Recommend Favorite

Non-parametric estimation of a multiscale CHARN model using SVR

By Safari Amir   Seese Detlef  

Quantitative Finance, Vol. 9, Iss. 1, 2009-02 ,pp. : 105-121

Routledge Ltd

Access to resources Recommend Favorite

Non-parametric estimation of operational risk losses adjusted for under-reporting

By Buch-Kromann Tine  

Scandinavian Actuarial Journal, Vol. 2007, Iss. 4, 2007-01 ,pp. : 293-304

Taylor & Francis Ltd

Access to resources Recommend Favorite

Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity

By Bianchi S.   Pantanella A.   Pianese A.  

Quantitative Finance, Vol. 13, Iss. 8, 2013-08 ,pp. : 1317-1330

Routledge Ltd

Access to resources Recommend Favorite