Hierarchical Time-Varying Estimation of Asset Pricing Models
| dc.contributor.author | Baillie, RT | en_US |
| dc.contributor.author | Calonaci, F | en_US |
| dc.contributor.author | Kapetanios, G | en_US |
| dc.date.accessioned | 2022-04-19T10:23:58Z | |
| dc.date.issued | 2022 | en_US |
| dc.identifier.issn | 1911-8066 | en_US |
| dc.identifier.other | ARTN 14 | en_US |
| dc.identifier.uri | https://qmro.qmul.ac.uk/xmlui/handle/123456789/77943 | |
| dc.relation.ispartof | JOURNAL OF RISK AND FINANCIAL MANAGEMENT | en_US |
| dc.rights | Attribution 3.0 United States | * |
| dc.rights.uri | http://creativecommons.org/licenses/by/3.0/us/ | * |
| dc.subject | asset pricing model | en_US |
| dc.subject | Fama-MacBeth model | en_US |
| dc.subject | estimation of beta | en_US |
| dc.subject | kernel-weighted regressions | en_US |
| dc.subject | cross-validation | en_US |
| dc.subject | time-varying parameter regressions | en_US |
| dc.title | Hierarchical Time-Varying Estimation of Asset Pricing Models | en_US |
| dc.type | Article | |
| dc.identifier.doi | 10.3390/jrfm15010014 | en_US |
| pubs.author-url | https://www.webofscience.com/api/gateway?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000746177300001&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=612ae0d773dcbdba3046f6df545e9f6a | en_US |
| pubs.issue | 1 | en_US |
| pubs.notes | Not known | en_US |
| pubs.publication-status | Published | en_US |
| pubs.volume | 15 | en_US |
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Economics and Finance [369]
Except where otherwise noted, this item's license is described as Attribution 3.0 United States
