n Investment Analysts Journal - Combining Vasicek and robust estimators for forecasting systematic risk

This is currently unavailable for purchase.



Extracted from text ... Number 55 - Part 3 GS Cloete, PJ de Jongh and T de Wet Combining Vasicek and Robust Estimators for forecasting systematic risk 1. Introduction The problem of estimating and forecasting systematic risk, or the so-called beta parameter in the market model, is well-known and has been studied by several authors (see e.g. Lam 1999, Lally 1998, Bowie and Bradfield 1998, Boabang 1996, Draper and Paudyal 1995, Murray 1995 and Bartholdy and Riding 1994). The classical estimator for beta is the well-known ordinary least squares (OLS) estimator, but several authors have shown that this estimator suffers from several deficiencies, e.g. ..


Article metrics loading...

This is a required field
Please enter a valid email address
Approval was a Success
Invalid data
An Error Occurred
Approval was partially successful, following selected items could not be processed due to error