Optimal inference for spot regressions
Betas from return regressions are commonly used to measure systematic financial market risks. "Good" beta measurements are essential for a range of empirical inquiries in finance and macroeconomics. We introduce a novel econometric framework for the nonparametric estimation of time-varying...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2024
|
| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2645 https://ink.library.smu.edu.sg/context/soe_research/article/3644/viewcontent/OptimalInferenceSpotRegressions_sv.pdf |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |